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The Wealth Effects Of The 2010-2011 Arab Uprisings: A Market Model Event Study, Rachit Khaitan
The Wealth Effects Of The 2010-2011 Arab Uprisings: A Market Model Event Study, Rachit Khaitan
CMC Senior Theses
Previous empirical analyses have concluded that political events can have significant linkages with stock returns. Using Brown & Warner’s (1984) OLS market model, I examine the effect of political disruptions in the 2010-2011 Arab uprisings on major stock indices of Egypt, Tunisia, Jordan, Lebanon, Saudi Arabia, Dubai and London. My analysis finds mostly negative abnormal returns, highly statistically significant relative to the S&P 500, associated with many key events between December 1st, 2010 and December 1st, 2011. My findings suggest that the loss of investor wealth can be attributed to dramatic regime changes and large scale …