THE IMPACT OF NEWS EVENTS ON THE TUNISIAN STOCK MARKET VOLATILITY: A POST-REVOLUTIONARY STUDY

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Abstract

This study examines the impact of political, economic, social and terrorism events on market volatility over the period of the Tunisian revolution from December 1, 2010 to May 29, 2015. Our study is based on daily data of three variable: Tunindex the composite index of the Tunisian stock market, the financial companies’ index, and the exchange rate Eur/Tnd, in order to detect the influence of each type of event on these three selected variables. Using an EGARCH model, the empirical evidence highlights that the fourth types of events affect the Tunindex market volatility. In fact, the political, social and terrorism events increase the volatility of the index. However, the economic events diminish this volatility. Furthermore, we notice that only political and social events influence the market volatility of the financial companies. However, exchange rate Eur/Tnd was affected only by economic and social events.

Keywords: Volatility, Event Study, EGARCH Model, Tunisian Revolution

JEL Classification: G11, G12, G14, C58, F31

Date received: 14 October 2016

Date accepted: 22 January 2017

How to cite this paper: Zaiane, S., & Allita, A. (2017). The impact of news events on the Tunisian stock market volatility: A Post-revolutionary study. Corporate Ownership & Control, 14(2-1), 230-237. https://doi.org/10.22495/cocv14i2c1p9