The Impact Of Political Instability Driven By The Tunisian Revolution On Stock Market Volatility: Evidence From Sectorial Indices

Q4 Business, Management and Accounting

Journal of Applied Business Research Pub Date : 2018-02-26 DOI:10.19030/jabr.v34i2.10135

Salma Zaiane

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引用次数: 6

Abstract

The aim of this paper is to study the impact of political uncertainty, driven by the Tunisian Revolution, on return and volatility of major sectorial stock indices in the Tunisian Stock Exchange. We specifically use EGARCH (1.1) model from 01/12/2010 to 31/08/2016. This model is applied to the daily returns relevant to ten sectorial stock indices and to the Tunisian benchmark index (TUNINDEX). To test the impact of political news on returns and volatility, we divided them into two groups (good and bad news). Our results show that both of good and bad news have increased the volatility of major selected indices, including the TUNINDEX. However, the return of all indices are not affected by the political news. We then examined the impact of terrorism on the behavior of indices return and volatility. Results show that the Tunisian market responds significantly to terrorist acts. Hence, the return declines and the volatility increase the day of terrorist attacks. Furthermore, results confirm that bad news have stronger effect on the volatility than good news, which reveal the asymmetric effect of volatility.

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突尼斯革命导致的政治不稳定对股市波动的影响:来自行业指数的证据

本文的目的是研究由突尼斯革命驱动的政治不确定性对突尼斯证券交易所主要行业股票指数的回报和波动性的影响。我们在2010年12月1日至2016年8月31日期间使用EGARCH(1.1)模型。该模型应用于与10个行业股票指数和突尼斯基准指数(TUNINDEX)相关的日收益。为了测试政治新闻对回报率和波动性的影响，我们将他们分为两组(好消息和坏消息)。我们的研究结果表明，好消息和坏消息都增加了包括TUNINDEX在内的主要选定指数的波动性。然而，所有指数的回报都没有受到政治新闻的影响。然后，我们检验了恐怖主义对指数回报和波动行为的影响。结果表明，突尼斯市场对恐怖主义行为反应显著。因此，在恐怖袭击发生的当天，回报率下降，波动性增加。此外，研究结果证实，坏消息对波动率的影响大于好消息，这揭示了波动率的不对称效应。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Applied Business Research Business, Management and Accounting-Business and International Management

CiteScore

0.60

自引率

0.00%

发文量

期刊介绍： The Journal of Applied Business Research (JABR) welcomes articles in all areas of applied business and economics research. Both theoretical and applied manuscripts will be considered for publication; however, theoretical manuscripts must provide a clear link to important and interesting business and economics applications. Using a wide range of research methods including statistical analysis, analytical work, case studies, field research, and historical analysis, articles examine significant applied business and economics research questions from a broad range of perspectives. The intention of JABR is to publish papers that significantly contribute to these fields.