Spillovers of Political Instability and Covid 19 Pandemic Crisis on Tunisian Sectorial Stock Price Returns

Hassan Guenichi, Néjib Chouaibi
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Abstract

To examine the effects of Political instability (PI) and Covid-19 pandemic crisis measured by death rate (DR) on Tunisian sectorial stock market returns, our paper contributes to the financial literature by providing a new study of these effects based on DCC multivariate GARCH. These effects are specially examined in mean and variance returns equations. Our results show a not significant negative effect of both variables under study in mean but significant coefficients of IP and DR in variance equation. Despite the COVID-19 pandemic crisis positively impacts the investor’s fear sentiments; the conditional volatility of all sectorial stock market returns is higher in political instability period leading high-level risk in Tunisian stock market. Our findings offer useful policy and financial implications to the policy makers also to firms, investors and all stakeholders of the Tunisian stock market
政治不稳定和Covid - 19大流行危机对突尼斯行业股价回报的溢出效应
为了检验政治不稳定(PI)和Covid-19大流行危机(以死亡率(DR)衡量)对突尼斯行业股票市场回报的影响,我们的论文通过提供基于DCC多变量GARCH的这些影响的新研究,为金融文献做出了贡献。这些影响在均值和方差返回方程中得到了特别的检验。我们的研究结果表明,两个变量在均值上的负向效应不显著,但在方差方程中,IP和DR的系数显著。尽管COVID-19大流行危机对投资者的恐惧情绪产生了积极影响;在政治不稳定时期,所有行业股票市场收益的条件波动率较高,导致突尼斯股市风险较高。我们的研究结果为政策制定者以及突尼斯股票市场的公司、投资者和所有利益相关者提供了有用的政策和金融启示
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