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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.

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