scholarly journals Euro-Mediterranean Financial Markets Reaction to Political Elections

2021 ◽  
Vol 6 (2) ◽  
pp. 70-85
Author(s):  
Jihene Ghouli Oueslati ◽  
Nadia Basty ◽  
Lamis Klouj
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Abnormal Returns ◽  
Anomalous Behavior ◽  
Market Returns ◽  
Stock Market Returns ◽  
Mediterranean Countries ◽  
Market Disruption ◽  
Stock Market Performance ◽  
The Impact

This paper studies a sample of Euro-Mediterranean countries to test the link of political-financial interdependencies. We focus specifically on the impact of the occurrence of national elections on the reaction of financial markets. We used the GARCH (1,1) model and the concept of the volatility multiplier to test our hypotheses. The results established that political elections have a significant impact on stock market performance and volatility for Euro-Mediterranean countries. We detected anomalous behavior in stock market returns. Stock market returns on election day and in the days following the election are inversely higher as uncertainty about the election outcome decreases. Investor uncertainty, combined with the consequences of the multiparty system in Euro-Mediterranean countries, leads to negative abnormal returns around elections. In terms of volatility, we found that the greater degree of uncertainty about the situation and the market disruption affected by the media and social networks increase volatility before election day.

scholarly journals Impact of Terrorism on Financial Markets: The Case of Turkey

2016 ◽  
Author(s):  
Neşe Algan ◽  
Mehmet Balcılar ◽  
Harun Bal ◽  
Müge Manga
Keyword(s):  
Stock Market ◽  
Financial Markets ◽  
Financial Market ◽  
Terrorist Attacks ◽  
Market Returns ◽  
Stock Market Returns ◽  
Stock Indices ◽  
Daily Data ◽  
The Impact

This study investigates the impact of terrorism on the Turkish financial market using daily data from Jan 4, 1988 to May 24, 2016. In order to measure the impacts of terrorist attacks in Turkey we test for causality from terrorism index to returns and volatilities of 3 aggregate and 16 sector level stock indices using a recently developed nonparametric causality-in-test test of Balcilar et al. (2016). The results obtained indicate that there is no causality from terrorist activities to stock market returns (1st moment). However, we find significant causality at various quantiles from terrorist activates to volatility (2nd moment) of tourism, food and basic materials sectors.

The Impact of US Economic Policy Uncertainty Shock on GCC Stock Market Performance

2019 ◽  
Vol 10 (2) ◽  
Author(s):  
Abdullah Alqahtani ◽  
Michael Taillard
Keyword(s):  
Stock Market ◽  
Granger Causality ◽  
The United States ◽  
Policy Uncertainty ◽  
Market Returns ◽  
Stock Market Returns ◽  
Gcc Countries ◽  
Stock Market Performance ◽  
Oil Markets ◽  
The Impact

Abstract This study examines the impact of the United States’ Economy Policy Uncertainty (US EPU) shocks on the Gulf Cooperation Council (GCC) countries’ stock market returns which are heavily related through global oil markets. Using monthly data spanning from 31/01/2010 to 31/08/2018, we employ a Non-Structural Vector Autoregression (VAR) and Vector Granger Causality Tests (VGCT) in order to ascertain the magnitude of transmitted shocks and to primarily evaluate if US EPU affects stock market returns in any of the GCC countries. Our OLS and VAR results suggest that US EPU has little impact on the GCC markets with the exception of Bahrain. The Vector Granger Causality Test confirms that changes in US EPU influence returns on Qatar’s stock market. These results will help GCC nations to stabilize global energy markets and prevent economic ripples to policy shocks.

scholarly journals DOES ELECTION IMPACT ON STOCK MARKET RETURNS IN BANGLADESH?

2021 ◽  
pp. 1-18
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Abnormal Returns ◽  
Descriptive Statistics ◽  
Market Returns ◽  
Stock Market Returns ◽  
Market Participants ◽  
Before And After ◽  
The Common ◽  
The Impact

This paper investigates the impact of parliamentary general election on the stock market returns by considering the previous fifteen days and the after fifteen days of each of six elections in Bangladesh held between 1991 and 2018. The study analyzed the election effect on stock returns through considering both abnormal returns by choosing 20 stocks as a proxy of portfolio motive of the investors and the broad index returns as a measurement of whole market scenario. The study employed descriptive statistics, t-tests, and F-tests to understand the impact of election by gauging the changes in return series. Descriptive statistics showed very high differences in means, standard deviations, and volatilities. Paired t-tests showed significant differences between the means and F-tests showed significant differences between the variances of the returns during before and after days of these elections. The results were the same for abnormal returns and broad index returns. The impacts of individual election on the returns were also found as the same in most cases. The study has found some very useful insights part of which can benefit the policymakers to reform the policies. The common investors and the financial market participants can also make better investment plan.

Cybercrime in Europe: surprising results of an expensive lapse

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Martin Roškot ◽  
Isaac Wanasika ◽  
Zuzana Kreckova Kroupova
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Abnormal Returns ◽  
Cyber Attacks ◽  
The European Union ◽  
Market Returns ◽  
Market Reactions ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

Purpose The purpose of this paper is to investigate the impact of ransomware cyber-attacks “WannaCry” and “Petya” on stock prices of publicly traded companies in the European Union. The study analyses a set of case studies related to largest recent cybercrime events, which happened in the first half of 2017. The study answers two questions, what is the impact of cybercrime to public companies? How do cybercrime announcements and publications affect stock prices? Design/methodology/approach Using archival financial data, an event study methodology was used to assess the impact of cybercrime activity on market value of European companies affected during WannaCry and Petya ransomware attacks in 2017. Findings The results suggest that announcements of information breaches because of ransomware exploits have impact on stock market returns. There is evidence of positive investors` reactions to the announcements. Specifically, there was little impact of “Wannacry” ransomware attack on market returns. Although stock market reactions differ by the sector, the market was positively affected in general. Our analysis of the impact of the more aggressive “Petya attack,” aimed at destroying affected data found evidence that such information security breach leads to increased market returns. There were significant abnormal returns starting from the third day of the announcement. These findings contradict previous results and the literature related to the impact of cyber-attacks. Originality/value Contrary to previous findings, the results suggest that ransomware attacks lead to positive market returns. However, cybercrime and other types of cyber-attacks pose serious threats whose implications deserve further investigation. Different attacks may have different consequences and could be potentially damaging to a firm’s reputation. Thus, it is necessary for companies to avoid becoming victim of cybercrime. Information systems should be continuously monitored for vulnerabilities.

A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Slah Bahloul ◽  
Nawel Ben Amor
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Stock Returns ◽  
Stock Markets ◽  
Financial Integration ◽  
Ordinary Least Squares ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

PurposeThis paper investigates the relative importance of local macroeconomic and global factors in the explanation of twelve MENA (Middle East and North Africa) stock market returns across the different quantiles in order to determine their degree of international financial integration.Design/methodology/approachThe authors use both ordinary least squares and quantile regressions from January 2007 to January 2018. Quantile regression permits to know how the effects of explanatory variables vary across the different states of the market.FindingsThe results of this paper indicate that the impact of local macroeconomic and global factors differs across the quantiles and markets. Generally, there are wide ranges in degree of international integration and most of MENA stock markets appear to be weakly integrated. This reveals that the portfolio diversification within the stock markets in this region is still beneficial.Originality/valueThis paper is original for two reasons. First, it emphasizes, over a fairly long period, the impact of a large number of macroeconomic and global variables on the MENA stock market returns. Second, it examines if the relative effects of these factors on MENA stock returns vary or not across the market states and MENA countries.

Effects of the COVID-19 pandemic on stock market returns and volatilities: evidence from selected emerging economies

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Bijoy Rakshit ◽  
Yadawananda Neog
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Emerging Economies ◽  
Market Performance ◽  
Exchange Rate Volatility ◽  
Oil Price ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
Stock Market Performance

Purpose The purpose of this paper is to investigate the effects of exchange rate volatility, oil price return and COVID-19 cases on the stock market returns and volatility for selected emerging market economies. Additionally, this study compares the market performance in the emerging economies during the COVID-19 pandemic with the pre-COVID and global financial crisis (GFC) period. Design/methodology/approach The authors apply the arbitrage pricing theory to model the risk-return relationship between the risk-based factors (exchange rate volatility and COVID-19 cases) and stock market returns. By applying the exponential generalized autoregressive conditional heteroskedasticity model, the study captures the asymmetric volatility spillover from the stock markets to foreign exchange markets and vice versa. Findings Findings reveal that exchange rate volatility exerts a negative and significant effect on the market returns in Brazil (BOVESPA), Chile (S&P CLX IPSA), India (SENSEX), Mexico (S&P BMV IPC) and Russia (MOEX) during the coronavirus pandemic. Regarding the effect of oil price returns, the authors find a positive relationship between oil price and stock market returns across all the economies in the study. The market returns of Russia, India, Brazil and Peru appeared more volatile during the pandemic than the GFC period. Practical implications As the exchange rate volatility is causing higher risk and uncertainty in the stock market’s performance, the central bank’s effort to maintain a stabilizing effect on the exchange rate sale can be proven crucial for the economies under consideration. Emphasized should also be given to boost investors’ confidence in the stock market, and for this, the government policy actions in reducing the transmission of the disease are the need of the hour. Originality/value While a large volume of literature on stock market performance in times of COVID-19 has emerged from developed economies, this study adds to the literature by exploring the emerging economies’ stock market performance during the COVID-19 pandemic. Unlike previous literature, this study examines the volatility spillover between stock and exchange rate markets in the worst affected emerging economies during the crisis.

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