815
Views
0
CrossRef citations to date
0
Altmetric
Politics & International Relations

Impact of political uncertainty on stock market returns: the case of post-revolution Tunisia

&
Article: 2324525 | Received 09 Jul 2023, Accepted 24 Feb 2024, Published online: 11 Mar 2024

References

  • Abdi, A., Souffargi, W., & Boubaker, A. (2023). Family firms’ resilience during the COVID-19 pandemic: Evidence from French firms. Corporate Ownership and Control, 20(3), 1–18. https://doi.org/10.22495/cocv20i3siart12
  • Alexakis, P., & Petrakis, P. (1991). Analysing stock market behaviour in a small capital market. Journal of Banking & Finance, 15(3), 471–483. https://doi.org/10.1016/0378-4266(91)90081-V
  • Arif, I., & Suleman, T. (2014). Terrorism and stock market linkages: An empirical study from Pakistan (No. 58918). University Library of Munich.
  • Arin, K. P., Ciferri, D., & Spagnolo, N. (2008). The price of terror: The effects of terrorism on stock market returns and volatility. Economics Letters, 101(3), 164–167. https://doi.org/10.1016/j.econlet.2008.07.007
  • Arin, K. P., Molchanov, A., & Reich, O. F. (2013). Politics, stock markets, and model uncertainty. Empirical Economics, 45(1), 23–38. https://doi.org/10.1007/s00181-012-0601-5
  • Aslam, F., & Kang, H. G. (2015). How different terrorist attacks affect stock markets. Defence and Peace Economics, 26(6), 634–648. https://doi.org/10.1080/10242694.2013.832555
  • Aslam, F., Rafique, A., Salman, A., Kang, H. G., & Mohti, W. (2015). The impact of terrorism on financial markets: Evidence from Asia. The Singapore Economic Review, 63(5), 1183–1204. https://doi.org/10.1142/S0217590815501118
  • Asteriou, D., & Siriopoulos, C. (2000). The role of political instability in stock market development and economic growth: The case of Greece. Economic Notes, 29(3), 355–374. https://doi.org/10.1111/1468-0300.00037
  • Athari, S. A. (2021). Domestic political risk, global economic policy uncertainty, and banks’ profitability: Evidence from Ukrainian banks. Post-Communist Economies, 33(4), 458–483. https://doi.org/10.1080/14631377.2020.1745563
  • Athari, S. A. (2022). Financial inclusion, political risk, and banking sector stability: Evidence from different geographical regions. Economics Bulletin, 42(1), 99–108.
  • Athari, S. A., & Irani, F. (2022). Does the country’s political and economic risks trigger risk-taking behavior in the banking sector: a new insight from regional study. Journal of Economic Structures, 11(1), 32. https://doi.org/10.1186/s40008-022-00294-4
  • Athari, S. A., Kirikkaleli, D., & Adebayo, T. S. (2023). World pandemic uncertainty and German stock market: Evidence from Markov regime-switching and Fourier based approaches. Quality & Quantity, 57(2), 1923–1936. https://doi.org/10.1007/s11135-022-01435-4
  • Azzimonti, M. (2018). Partisan conflict and private investment. Journal of Monetary Economics, 93, 114–131. https://doi.org/10.1016/j.jmoneco.2017.10.007
  • Barros, C. P., Caporale, G. M., & Gil‐Alana, L. A. (2009). Basque terrorism: Police action, political measures and the influence of violence on the stock market in the Basque Country. Defence and Peace Economics, 20(4), 287–301. https://doi.org/10.1080/10242690701750676
  • Bechtel, M. M. (2009). The political sources of systematic investment risk: Lessons from a consensus democracy. The Journal of Politics, 71(2), 661–677. https://doi.org/10.1017/S0022381609090525
  • Berkman, H., & Jacobsen, B. (2006, February). War, peace and stock markets. In EFA 2006 Zurich Meetings.
  • Boehmer, E., Musumeci, J., & Poulsen, A. B. (1991). Event-study methodology under conditions of event-induced variance. Journal of Financial Economics, 30(2), 253–272. https://doi.org/10.1016/0304-405X(91)90032-F
  • Bollerslev, Tim. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. https://doi.org/10.1016/0304-4076(86)90063-1
  • Boubekeur, A. (2016). Islamists, secularists and old regime elites in Tunisia: Bargained competition. Mediterranean Politics, 21(1), 107–127. https://doi.org/10.1080/13629395.2015.1081449
  • Brown, S. J., & Warner, J. B. (1985). Using daily stock returns: The case of event studies. Journal of Financial Economics, 14(1), 3–31. https://doi.org/10.1016/0304-405X(85)90042-X
  • Carter, D. A., & Simkins, B. J. (2004). The market’s reaction to unexpected, catastrophic events: The case of airline stock returns and the September 11th attacks. The Quarterly Review of Economics and Finance, 44(4), 539–558. https://doi.org/10.1016/j.qref.2003.10.001
  • Chau, F., Deesomsak, R., & Wang, J. (2014). Political uncertainty and stock market volatility in the Middle East and North African (MENA) countries. Journal of International Financial Markets, Institutions and Money, 28, 1–19. https://doi.org/10.1016/j.intfin.2013.10.008
  • Chiu, C. L., Chen, C. D., & Tang, W. W. (2005). Political elections and foreign investor trading in South Korea’s financial markets. Applied Economics Letters, 12(11), 673–677. https://doi.org/10.1080/13504850500190097
  • Colón De Armas, C. A., & Rodríguez, J. (2012). Do U.S. politics influence investment decisions? Evidence from global mutual funds. Working paper.
  • Corrado, C. J. (1989). A nonparametric test for abnormal security-price performance in event studies. Journal of Financial Economics, 23(2), 385–395. https://doi.org/10.1016/0304-405X(89)90064-0
  • Cowan, A. R. (1992). Non parametric event study tests. Review of Quantitative Finance and Accounting, 2(4), 343–358. https://doi.org/10.1007/BF00939016
  • Diamonte, R. L., Liew, J. M., & Stevens, R. L. (1996). Political risk in emerging and developed markets. Financial Analysts Journal, 52(3), 71–76. https://doi.org/10.2469/faj.v52.n3.1998
  • Do, Q. A., Lee, Y. T., & Nguyen, B. D. (2013). Political connections and firm value: Evidence from the regression discontinuity design of close gubernatorial elections. Available at SSRN 2190372.
  • Drakos, K. (2004). Terrorism-induced structural shifts in financial risk: airline stocks in the aftermath of the September 11th terror attacks. European Journal of Political Economy, 20(2), 435–446. https://doi.org/10.1016/j.ejpoleco.2003.12.010
  • Drakos, K. (2010). Terrorism activity, investor sentiment, and stock returns. Review of Financial Economics, 19(3), 128–135. https://doi.org/10.1016/j.rfe.2010.01.001
  • Frey, B. S., & Waldenström, D. (2004). Markets work in war: World War II reflected in the Zurich and Stockholm bond markets. Financial History Review, 11(1), 51–67. https://doi.org/10.1017/S0968565004000046
  • Gaibulloev, K., & Sandler, T. (2019). What we have learned about terrorism since 9/11. Journal of Economic Literature, 57(2), 275–328. https://doi.org/10.1257/jel.20181444
  • Guidolin, M., & La Ferrara, E. (2010). The economic effects of violent conflict: Evidence from asset market reactions. Journal of Peace Research, 47(6), 671–684. https://doi.org/10.1177/0022343310381853
  • Hibbs, D. A. (1977). Political parties and macroeconomic policy. American Political Science Review, 71(4), 1467–1487. https://doi.org/10.2307/1961490
  • Javed, A. Y., & Ahmed, A. (1999). The response of Karachi Stock Exchange to nuclear detonation. The Pakistan Development Review, 38(4II), 777–786. https://doi.org/10.30541/v38i4IIpp.777-786
  • Jones, S. T., & Banning, K. (2009). US elections and monthly stock market returns. Journal of Economics and Finance, 33(3), 273–287. https://doi.org/10.1007/s12197-008-9059-x
  • Jorion, P., & Goetzmann, W. N. (1999). Global stock markets in the twentieth century. The Journal of Finance, 54(3), 953–980. https://doi.org/10.1111/0022-1082.00133
  • Karolyi, G. A., & Martell, R. (2010). Terrorism and the stock market. International Review of Applied Financial Issues and Economics, 2(2), 285.
  • Kolari, J. W., & Pynnönen, S. (2010). Event study testing with cross-sectional correlation of abnormal returns. Review of Financial Studies, 23(11), 3996–4025. https://doi.org/10.1093/rfs/hhq072
  • Kollias, C., Papadamou, S., & Stagiannis, A. (2011). Terrorism and capital markets: The effects of the Madrid and London bomb attacks. International Review of Economics and Finance, 20(4), 532–541. https://doi.org/10.1016/j.iref.2010.09.004
  • Kondoz, M., Bora, I., Kirikkaleli, D., & Athari, S. A. (2019). Testing the volatility spillover between crude oil price and the US stock market returns. Management Science Letters, 9(8), 1221–1230. https://doi.org/10.5267/j.msl.2019.4.019
  • Luangaram, P., & Sethapramote, Y. (2018). Economic impacts of political uncertainty in Thailand (No. 86). Puey Ungphakorn Institute for Economic Research.
  • Masood, O., & Sergi, B. S. (2008). How political risks and events have influenced Pakistan’s stock markets from 1947 to the present. International Journal of Economic Policy in Emerging Economies, 1(4), 427–444. https://doi.org/10.1504/IJEPEE.2008.021285
  • Milyo, J. (2012). Do state campaign finance reforms increase trust and confidence in state government? In Annual Meeting of the Midwest Political Science Association, Chicago, IL, USA.
  • Mukerji, S., & Tallon, J. M. (2001). Ambiguity aversion and incompleteness of financial markets. The Review of Economic Studies, 68(4), 883–904. https://doi.org/10.1111/1467-937X.00194
  • Nazir, S. M., Younus, H., Kaleem, A., & Anwar, Z. (2014). Impact of political events on stock market returns: Empirical evidence from Pakistan. Journal of Economic and Administrative Sciences, 30(1), 60–78. https://doi.org/10.1108/JEAS-03-2013-0011
  • Nikkinen, J., & Vähämaa, S. (2010). Terrorism and stock market sentiment. Financial Review, 45(2), 263–275. https://doi.org/10.1111/j.1540-6288.2010.00246.x
  • Nikkinen, J., Omran, M. M., Sahlström, P., & Äijö, J. (2008). Stock returns and volatility following the September 11 attacks: Evidence from 53 equity markets. International Review of Financial Analysis, 17(1), 27–46. https://doi.org/10.1016/j.irfa.2006.12.002
  • Pantzalis, C., Stangeland, D. A., & Turtle, H. J. (2000). Political elections and the resolution of uncertainty: The international evidence. Journal of Banking & Finance, 24(10), 1575–1604. https://doi.org/10.1016/S0378-4266(99)00093-X
  • Patell, J. M. (1976). Corporate forecasts of earnings per share and stock price behavior: Empirical test. Journal of Accounting Research, 14(2), 246–276. https://doi.org/10.2307/2490543
  • Prukumpai, S., Sethapramote, Y., & Luangaram, P. (2022). Political uncertainty and the Thai stock market. Southeast Asian Journal of Economics, 10(3), 227–257.
  • Rigobon, R., & Sack, B. (2005). The effects of war risk on US financial markets. Journal of Banking & Finance, 29(7), 1769–1789. https://doi.org/10.1016/j.jbankfin.2004.06.040
  • Saliba, C., Farmanesh, P., & Athari, S. A. (2023). Does country risk impact the banking sectors’ non-performing loans? Evidence from BRICS emerging economies. Financial Innovation, 9(1), 86. https://doi.org/10.1186/s40854-023-00494-2
  • Smales, L. A. (2015). Better the devil you know: The influence of political incumbency on Australian financial market uncertainty. Research in International Business and Finance, 33, 59–74. https://doi.org/10.1016/j.ribaf.2014.06.002
  • Souffargi, W., & Boubaker, A. (2022). Structural breaks, asymmetry and persistence of stock market volatility: Evidence from post-revolution Tunisia. International Journal of Economics and Finance, 14(9), 51–64. https://doi.org/10.5539/ijef.v14n9p51
  • Souffargi, W., & Boubaker, A. (2023). The effects of rising terrorism on a small capital market: Evidence from Tunisia. Defence and Peace Economics, 34(3), 323–342. https://doi.org/10.1080/10242694.2021.2007338
  • Wisniewski, T. P., & Moro, A. (2014). When EU leaders speak, the markets listen. European Accounting Review, 23(4), 519–551. https://doi.org/10.1080/09638180.2014.884931
  • Zhou, M. J., Huang, J. B., & Chen, J. Y. (2022). Time and frequency spillovers between political risk and the stock returns of China’s rare earths. Resources Policy, 75, 102464. https://doi.org/10.1016/j.resourpol.2021.102464