... markets Trade Frequency Persian Gulf states Arabian Peninsula Wright (2000) stated that VR tests using ranks and signs are more robust than LOMAC test when data are non‐normal and non‐stationary. Furthermore, Wright (2000) tests will be robust to many forms of conditional...

.... Maghyereh can be contacted at: a.almaghaireh@uaeu.ac.ae © Emerald Group Publishing Limited 2008 Persian Gulf States Stock returns Stock markets Risk management One drawback of the above researchers is that they disregard the stochastic volatility exhibited by stock market returns...