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November 2, 2021Journal of Public Affairs

Political uncertainty, financial crises, and stock market volatility: Evidence from MENA region

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Authors

DTDorra TalbiHCHasna ChaibiAMAymen Maoueti

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Overview

Econometric analysis reveals that political events drive stock market volatility more than financial crises across ten MENA countries, highlighting distinct reactions to sudden shocks.

Key Points

  • To evaluate and compare how political uncertainty and financial crises influence stock market volatility across ten MENA countries between 2005 and 2018.
  • Analyzed historical market, financial crisis, and political event data across 10 MENA countries from 2005 to 2018.
  • Estimated volatility dynamics and compared model performance using GARCH and EGARCH econometric frameworks during predictable and unpredictable events.
  • Political events, including elections and terrorist attacks, generate a more significant increase in stock market volatility than financial crises.
  • Terrorist attacks produce an instantaneous volatility surge best modeled by EGARCH, whereas elections cause a delayed reaction best captured by standard GARCH.

Cite This Study

Talbi et al. (2021) studied this question.

synapsesocial.com/papers/6a8bf5dce6afc07dcbf46055https://doi.org/10.1002/pa.2783
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