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The Impact of the International Financial Crisis on the Stock Market Return: The Case of Tunisian Stock Exchange

Author

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  • Houssem Rachdi
  • Rym Ben Selma Mokni
  • Sana Khemiri

Abstract

The subprime crisis that has ravaged most economies has led to a slowdown in the productive tool and a sharp decline in GDP, as well as high fiscal costs; they disrupt the functioning of financial intermediaries and a plummeting stock returns on various financial markets. The aim of this paper is to study the impact of the recent financial crisis on the yield. It analyzes the origins and causes of this apparent, and exposes the main channels of its transmission to the various international stock markets. In this regard, an empirical study was conducted on a series of daily returns of the main Tunisian stock exchange index «Tunindex», for the period 2005-2010. This paper separately consider the pre-crisis period and the crisis years using based ARCH, GARCH, TGARCH and EGARCH models. Our econometric results show that the returns of Tunindex were not directly affected by the international financial crisis because there’s volatility of return before and after crisis.

Suggested Citation

  • Houssem Rachdi & Rym Ben Selma Mokni & Sana Khemiri, 2013. "The Impact of the International Financial Crisis on the Stock Market Return: The Case of Tunisian Stock Exchange," Journal of Empirical Economics, Research Academy of Social Sciences, vol. 1(2), pages 67-74.
    • Handle: RePEc:rss:jnljee:v1i2p3
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    References listed on IDEAS

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    1. Kazi, Irfan Akbar & Guesmi, Khaled & Kaabia, Olfa, 2011. "Contagion effect of financial crisis on OECD stock markets," Economics Discussion Papers 2011-15, Kiel Institute for the World Economy (IfW Kiel).
    2. Neaime, Simon, 2012. "The global financial crisis, financial linkages and correlations in returns and volatilities in emerging MENA stock markets," Emerging Markets Review, Elsevier, vol. 13(3), pages 268-282.
    3. Kim, Bong-Han & Kim, Hyeongwoo & Lee, Bong-Soo, 2015. "Spillover effects of the U.S. financial crisis on financial markets in emerging Asian countries," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 192-210.
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    1. Anna Spoz & Ilona Skibinska-Fabrowska & Grzegorz Kotlinski & Helena Zukowska, 2021. "The Impact of the Covid-19 Pandemic on the Financial Performance of Public Companies in Poland," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 955-976.
    2. Al-Mohamed, Somar & Elkanj, Nasser & Gangopadhyay, Partha, 2018. "Time-Varying Integration of MENA Stock Markets," International Journal of Development and Conflict, Gokhale Institute of Politics and Economics, vol. 8(2), pages 85-114.

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