The Impact of the Exchange Rate Volatilities on Stock Markets Dynamics: Evidence from Tunisia and Turkey

Abstract

This research aims to identify the impact of exchange rate volatility on the fluctuations of stock markets prices, considering two countries from MENA zone. Several gaps in the literature have been identified, indeed, previous works used very short periods of study, many important variables were neglected, and all results were contradictory. In this study, we integrate assorted determinants of stock market indices that have not been used simultaneously before, and we spread out our research period up to 15. The GARCH model is employed. The results show that exchange rate volatility have a significant effect on stock market fluctuations.