政治不确定性与市场反应:突尼斯民主转型的案例

Linda Fakhfakh, T. Hamza, S. Ellouz
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引用次数: 0

摘要

政治风险是影响股市反应的一个重要因素。本文研究了突尼斯民主转型对股票市场和银行部门回报的影响。本文采用事件研究和BHAR方法,从短期和长期角度检验了政治风险与股票收益之间的关系。我们的研究结果表明:1)在短期内,与“革命”事件相关的政治风险对股市收益产生负向影响。从长远来看,这种影响是积极的。2)“2014年大选”事件在短期内积极影响股市回报,在18个月内消极影响股市回报。3)对于“2011年选举”事件,短期的积极效果似乎会持续很长时间。(4)最后,在民主转型的背景下,政治风险对银行业收益产生负向影响。本研究为投资者和市场监管者提出了几个管理启示。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Political uncertainty and market reaction: the case of Tunisian democratic transition
Political risk is an important factor that affects stock market reaction. Our paper investigates the impact of Tunisian democratic transition on both stock market and bank sector returns. We use the event study and BHAR methodologies and test the relation between political risk and stock returns in the short and long-term horizon. Our results show that: 1) In the short-term, the political risk associated with the 'revolution' event, affects negatively the stock market returns. This impact is positive in the long-term. 2) The '2014 elections' event positively affects stock market returns in the short-term and negatively over 18 months. 3) For the '2011 elections' event, the short-term positive effect seems to persist for long-term. 4) Lastly, in the context of democratic transition, political risk affects negatively the bank sector returns. This study proposes several managerial implications for investors as well as for market regulators.
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