Investigating the Arab stock markets during Arab spring

Naser I Abumustafa ()
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Naser I Abumustafa: Dean and Professor of Finance, College of administrative and financial sciences, Al-Ahliyya Amman University

Journal of Asset Management, 2016, vol. 17, issue 5, No 1, 313-318

Abstract: Abstract Arab Spring in Tunisia, Egypt, Bahrain, Jordan, Kuwait and Saudi Arabia affect the national economy of each country. The article investigates the impact of Arab Spring on the stock markets performance during Arab spring. The article uses daily closing price data of the six stock markets; trade volume of monthly data during 2010:12–2015:06. The article shows that the higher the causality between stock market trade volume and foreign direct investment the higher the risk. The results reveal that the Arab stock markets exhibit the persistence of volatility, mean reverting behavior and volatility clustering.

Keywords: Arab spring; stock markets; granger causality (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (4)

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DOI: 10.1057/jam.2016.8

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