Open Access. Powered by Scholars. Published by Universities.®

Business Commons

Open Access. Powered by Scholars. Published by Universities.®

Eastern Illinois University

2013

Monetary policy shock; emerging stock markets; Middle East and North Africa; MENA; volatility transmission; GARCH

Articles 1 - 3 of 3

Full-Text Articles in Business

International Stock Markets Response To The Federal Reserve Policy Actions: The Case Of Emerging Mena Markets, Ahmed Abou-Zaid Jan 2013

International Stock Markets Response To The Federal Reserve Policy Actions: The Case Of Emerging Mena Markets, Ahmed Abou-Zaid

Ahmed Abou-Zaid

Understanding the impact of external shocks on stock markets returns and volatility is crucial for market participants as volatility is synonymous with risk. The focus of this paper is to determine whether the US monetary policy decisions influence the stock market returns and volatility in Egypt, Israel, and Turkey. Efficient markets react to new information; hence a greater response would be expected in terms of trading activity if there is an unanticipated element to any information revealed. Thus, the paper decomposes the monetary policy shocks into both expected and surprise components and test their influence on the MENA stock markets. …


International Stock Markets Response To The Federal Reserve Policy Actions: The Case Of Emerging Mena Markets, Ahmed Abou-Zaid Jan 2013

International Stock Markets Response To The Federal Reserve Policy Actions: The Case Of Emerging Mena Markets, Ahmed Abou-Zaid

Faculty Research and Creative Activity

Understanding the impact of external shocks on stock markets returns and volatility is crucial for market participants as volatility is synonymous with risk. The focus of this paper is to determine whether the US monetary policy decisions influence the stock market returns and volatility in Egypt, Israel, and Turkey. Efficient markets react to new information; hence a greater response would be expected in terms of trading activity if there is an unanticipated element to any information revealed. Thus, the paper decomposes the monetary policy shocks into both expected and surprise components and test their influence on the MENA stock markets. …


International Stock Markets Response To The Federal Reserve Policy Actions: The Case Of Emerging Mena Markets, Ahmed Abou-Zaid Jan 2013

International Stock Markets Response To The Federal Reserve Policy Actions: The Case Of Emerging Mena Markets, Ahmed Abou-Zaid

Faculty Research and Creative Activity

Understanding the impact of external shocks on stock markets returns and volatility is crucial for market participants as volatility is synonymous with risk. The focus of this paper is to determine whether the US monetary policy decisions influence the stock market returns and volatility in Egypt, Israel, and Turkey. Efficient markets react to new information; hence a greater response would be expected in terms of trading activity if there is an unanticipated element to any information revealed. Thus, the paper decomposes the monetary policy shocks into both expected and surprise components and test their influence on the MENA stock markets. …