We test for the impact of the announcements of floating and/or devaluating the exchange rate on stock returns in three MENA countries after the financial crises they experienced. We, first, use an event-study methodology to test for event-induced abnormal volatility of stock returns in Egypt, Morocco and Turkey. We, then, use three different methodologies to test for abnormal returns: a traditional approach and two approaches that control for event-induced volatility. We find clear evidence of abnormal volatility and abnormal returns due to the floating of the Egyptian and Turkish exchange rates in 2003 and 2001, respectively. In contrast, our results do not show that the devaluation of the Moroccan currency in 2001 resulted in abnormal volatility and/or abnormal returns.

Switching to floating exchange rates, devaluations and stock returns in MENA countries / M., Abdelaziz; G. Chortareas, G.; Cipollini, Andrea. - In: INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS. - ISSN 1057-5219. - ELETTRONICO. - 21:(2012), pp. 119-127. [10.1016/j.irfa.2011.09.003]

Switching to floating exchange rates, devaluations and stock returns in MENA countries

CIPOLLINI, Andrea
2012

Abstract

We test for the impact of the announcements of floating and/or devaluating the exchange rate on stock returns in three MENA countries after the financial crises they experienced. We, first, use an event-study methodology to test for event-induced abnormal volatility of stock returns in Egypt, Morocco and Turkey. We, then, use three different methodologies to test for abnormal returns: a traditional approach and two approaches that control for event-induced volatility. We find clear evidence of abnormal volatility and abnormal returns due to the floating of the Egyptian and Turkish exchange rates in 2003 and 2001, respectively. In contrast, our results do not show that the devaluation of the Moroccan currency in 2001 resulted in abnormal volatility and/or abnormal returns.
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119
127
Switching to floating exchange rates, devaluations and stock returns in MENA countries / M., Abdelaziz; G. Chortareas, G.; Cipollini, Andrea. - In: INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS. - ISSN 1057-5219. - ELETTRONICO. - 21:(2012), pp. 119-127. [10.1016/j.irfa.2011.09.003]
M., Abdelaziz; G. Chortareas, G.; Cipollini, Andrea
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11380/708997
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