The Impact of the International Financial Crisis on the Stock Market Return: The Case of Tunisian Stock Exchange
Journal Title: Journal of Empirical Economics - Year 2013, Vol 1, Issue 2
Abstract
The subprime crisis that has ravaged most economies has led to a slowdown in the productive tool and a sharp decline in GDP, as well as high fiscal costs; they disrupt the functioning of financial intermediaries and a plummeting stock returns on various financial markets. The aim of this paper is to study the impact of the recent financial crisis on the yield. It analyzes the origins and causes of this apparent, and exposes the main channels of its transmission to the various international stock markets. In this regard, an empirical study was conducted on a series of daily returns of the main Tunisian stock exchange index «Tunindex», for the period 2005-2010. This paper separately consider the pre-crisis period and the crisis years using based ARCH, GARCH, TGARCH and EGARCH models. Our econometric results show that the returns of Tunindex were not directly affected by the international financial crisis because there’s volatility of return before and after crisis.
Authors and Affiliations
Houssem Rachdi, Rym Ben Selma Mokni, Sana Khemiri
Keywords
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