Investigating the Arab stock markets during Arab spring

Arab Spring in Tunisia, Egypt, Bahrain, Jordan, Kuwait and Saudi Arabia affect the national economy of each country. The article investigates the impact of Arab Spring on the stock markets performance during Arab spring. The article uses daily closing price data of the six stock markets; trade volum...

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Bibliographic Details
Published in:Journal of asset management 2016-09, Vol.17 (5), p.313-318
Main Author: Abumustafa, Naser I
Format: Article
Language:English
Subjects:
Arab Spring
Causality
Economics and Finance
Finance
Financial Services
Invited Editorial
Risk Management
Securities markets
Stock exchanges
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Summary:Arab Spring in Tunisia, Egypt, Bahrain, Jordan, Kuwait and Saudi Arabia affect the national economy of each country. The article investigates the impact of Arab Spring on the stock markets performance during Arab spring. The article uses daily closing price data of the six stock markets; trade volume of monthly data during 2010:12–2015:06. The article shows that the higher the causality between stock market trade volume and foreign direct investment the higher the risk. The results reveal that the Arab stock markets exhibit the persistence of volatility, mean reverting behavior and volatility clustering.
ISSN:1470-8272
1479-179X
DOI:10.1057/jam.2016.8