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

Onur Enginar (), Mehmet Baha Karan () and Göknur Büyükkara ()
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Onur Enginar: Hacettepe University
Mehmet Baha Karan: Hacettepe University
Göknur Büyükkara: Hacettepe University

Chapter Chapter 20 in Global Approaches in Financial Economics, Banking, and Finance, 2018, pp 415-443 from Springer

Abstract: 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.

Keywords: Event study; Abnormal return; Fed’s tapering; Emerging markets (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:conchp:978-3-319-78494-6_20

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DOI: 10.1007/978-3-319-78494-6_20

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