The Speed of Stock Market Price Reactions to Fiscal Budget and Election Announcements in Five Middle-Eastern and African Countries

• Main Authors: Erfanian, Azadeh, Yahya, Mohamed Hisham, Md Nassir, Annuar
• Format: Article
• Language: English
• Published: Universiti Utara Malaysia Press 2016
• Subjects: HB Economic Theory
• Online Access: 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

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...