IDEAS home Printed from https://ideas.repec.org/h/spr/conchp/978-3-319-78494-6_20.html
   My bibliography  Save this book chapter

Performances of Emerging Stock Exchanges During the Fed’s Tapering Announcements

In: Global Approaches in Financial Economics, Banking, and Finance

Author

Listed:
  • Onur Enginar

    (Hacettepe University)

  • Mehmet Baha Karan

    (Hacettepe University)

  • Göknur Büyükkara

    (Hacettepe University)

Abstract

This paper investigates abnormal returns of 19 emerging market equity portfolios during the Fed’s tapering period. Event study methodology is used during the early Fed’s announcements at 2013. The aim of the study is to evaluate both the event study methodology and abnormal return performance of the emerging market stock exchanges during tapering period. The authors also check for abnormal volatility during tapering announcements, specifying it with GARCH (1,1) model. The results indicate that, together with China and Greece, the fragile five economies are differentiated from the rest of the emerging markets during tapering announcements. Moreover, the striking result that the authors see is Turkey is affected more negatively than any other fragile five members in this period. Yet, the authors did not find any significant abnormal volatility effect brought by tapering announces. In addition, the authors find emerging markets are not semi-strong form efficient during tapering period.

Suggested Citation

  • Onur Enginar & Mehmet Baha Karan & Göknur Büyükkara, 2018. "Performances of Emerging Stock Exchanges During the Fed’s Tapering Announcements," Contributions to Economics, in: Hasan Dincer & Ümit Hacioglu & Serhat Yüksel (ed.), Global Approaches in Financial Economics, Banking, and Finance, chapter 0, pages 415-443, Springer.
    • Handle: RePEc:spr:conchp:978-3-319-78494-6_20
    DOI: 10.1007/978-3-319-78494-6_20
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:conchp:978-3-319-78494-6_20. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.