Arab Journal of Administration المجلة العربية للإدارة


One of the most important concepts in investment theory is the relationship between risk and return. This relationship drives the theoretical foundation of many investment models such as the well-known Capital Asset Pricing Model which predicts that the expected return on an asset above the risk-free rate is linearly related to the non-diversifiable risk measured by its beta. This study comes to test and evaluate volatility in returns on four Arab financial market indicators in the Middle East and the Arab Gulf states (Hashemite Kingdom of Jordan, the State of Palestine, Saudi Arabia, United Arab Emirates) using Generalized Autoregressive Conditional Heteroscedasticity (GARCH) Model for the period between the years 2003 to 2015 using data Daily.The study was concluded and the results of the equation yield across the GARCH (1.1) model to the existence of a positively and significantly relationship between the return and the volatility of return (risk) for arab financial markets under study. This is give us an evidence of the ability of Arab financial markets to compensate investors risk premium commensurate with the risks in different proportions. which confirms the nature of the positive development of Arab financial markets under study.