Open AccessHow Does Financial Sector Reacts After Special Events? An Event Study Analysis of Tunisia after the Revolution of 2011.
Author(s) -
Amira Kaddour,
Mourad Zmami
Publication year - 2014
Publication title -
journal of social sciences research
Language(s) - English
Resource type - Journals
ISSN - 2321-1091
DOI - 10.24297/jssr.v4i2.6662
Subject(s) - volatility (finance) , economics , stock exchange , stock market , terrorism , event study , index (typography) , politics , financial economics , stock market index , exchange rate , financial sector , monetary economics , econometrics , finance , geography , political science , context (archaeology) , archaeology , world wide web , computer science , law
Using an event study analysis, we aim to investigate the impact of political, economic, social and terrorism events, on the Tunisian financial sector, over the period of the Tunisian Revolution; from (12)2010 to (04)2014. Based on a daily data analysis using three selected variables ; Sectoral index of performance of Tunisian banks ,Index of Tunisian stock market and the exchange rate Euro/ Dinar, the EGARCH model results have highlighted that general events decrease the return of our variables, and increase their volatility. More, results have shown that stock market is very sensitive to political and terrorism events, bad economic events increase the volatility of the exchange rate, and decrease the performance of banking sector. Political events remain the more important component, they affect negatively all the endogenous variables; coefficients in the mean equation show an important decline in term of the return of banking sector ,the stock market and the exchange rate.