The Speed of Stock Market Price Reactions to Fiscal Budget and Election Announcements in Five Middle-Eastern and African Countries
This paper provides evidence on how stock market index reacts to releases of market-relevant information by five Middle-eastern and North African country budget and general election results. After estimating the ARMA (1, 2) estimator using daily stock returns over a recent five-year period, it was f...
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my.uum.repo.249642018-10-15T02:42:13Z http://repo.uum.edu.my/24964/ The Speed of Stock Market Price Reactions to Fiscal Budget and Election Announcements in Five Middle-Eastern and African Countries Erfanian, Azadeh Yahya, Mohamed Hisham Md Nassir, Annuar HB Economic Theory This paper provides evidence on how stock market index reacts to releases of market-relevant information by five Middle-eastern and North African country budget and general election results. After estimating the ARMA (1, 2) estimator using daily stock returns over a recent five-year period, it was found that the market price effect over is a 20-day test window. The stock price adjustment to national annual budget announcement is significant, and the speed of adjustment is around two days to announcement. The national general election news attracts a faster adjustment time in all five countries tested. These findings of macro level market price effects from two key events are new to the literature. Universiti Utara Malaysia Press 2016 Article PeerReviewed application/pdf en http://repo.uum.edu.my/24964/1/IJBF%2012%202%202016%2043%2063.pdf Erfanian, Azadeh and Yahya, Mohamed Hisham and Md Nassir, Annuar (2016) The Speed of Stock Market Price Reactions to Fiscal Budget and Election Announcements in Five Middle-Eastern and African Countries. International Journal of Banking and Finance (IIJBF), 12 (2). pp. 43-63. ISSN 1675-7227 http://ijbf.uum.edu.my/index.php/previous-issues/153-the-international-journal-of-banking-and-finance-ijbf-volume-12-no-2-2016 |
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HB Economic Theory Erfanian, Azadeh Yahya, Mohamed Hisham Md Nassir, Annuar The Speed of Stock Market Price Reactions to Fiscal Budget and Election Announcements in Five Middle-Eastern and African Countries |
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This paper provides evidence on how stock market index reacts to releases of market-relevant information by five Middle-eastern and North African country budget and general election results. After estimating the ARMA (1, 2) estimator using daily stock returns over a recent five-year period, it was found that the market price effect over is a 20-day test window. The stock price adjustment to national annual budget announcement is significant, and the speed of adjustment is around two days to announcement. The national general election news attracts a faster adjustment time in all five countries tested. These findings of macro level market price effects from two key events are new to the literature. |
format |
Article |
author |
Erfanian, Azadeh Yahya, Mohamed Hisham Md Nassir, Annuar |
author_facet |
Erfanian, Azadeh Yahya, Mohamed Hisham Md Nassir, Annuar |
author_sort |
Erfanian, Azadeh |
title |
The Speed of Stock Market Price Reactions to Fiscal Budget and Election Announcements in Five Middle-Eastern and African Countries |
title_short |
The Speed of Stock Market Price Reactions to Fiscal Budget and Election Announcements in Five Middle-Eastern and African Countries |
title_full |
The Speed of Stock Market Price Reactions to Fiscal Budget and Election Announcements in Five Middle-Eastern and African Countries |
title_fullStr |
The Speed of Stock Market Price Reactions to Fiscal Budget and Election Announcements in Five Middle-Eastern and African Countries |
title_full_unstemmed |
The Speed of Stock Market Price Reactions to Fiscal Budget and Election Announcements in Five Middle-Eastern and African Countries |
title_sort |
speed of stock market price reactions to fiscal budget and election announcements in five middle-eastern and african countries |
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Universiti Utara Malaysia Press |
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2016 |
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http://repo.uum.edu.my/24964/1/IJBF%2012%202%202016%2043%2063.pdf http://repo.uum.edu.my/24964/ http://ijbf.uum.edu.my/index.php/previous-issues/153-the-international-journal-of-banking-and-finance-ijbf-volume-12-no-2-2016 |
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13.19449 |