How Do Macroeconomic Variables Volatilities Affect Stock Markets Dynamics? Evidence From MENA Zone

Christian de Peretti (), Nesrine Mechri () and Salah Ben Hamad
Additional contact information
Christian de Peretti: ECL - École Centrale de Lyon - Université de Lyon, LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon
Nesrine Mechri: UR CONFLUENCE : Sciences et Humanités (EA 1598) - UCLy - UCLy (Lyon Catholic University), ESDES - ESDES, Lyon Business School - UCLy - UCLy - UCLy (Lyon Catholic University)
Salah Ben Hamad: Université de Sfax - University of Sfax

Post-Print from HAL

Abstract: This research explores the impact of five macroeconomic variables volatilities on the fluctuations of stock markets returns, considering five countries from MENA zone. We contribute to the existing literature by introducing a new framework based on an EGARCH model that combine simultaneously five macroeconomic variables as explicative powers that has never been established before in such an issue. An economic examination in presented about the impact of several key macroeconomic variables prices and volatilities on different stock markets returns. Empirically, four GARCH models are tested and interpreted. The results are of great interest for portfolio managers and international investors since detecting the source of stock market volatility is an actual issue. According to the findings, we conclude that stock markets dynamics are not influenced by the same fluctuations of the same macroeconomic variables, depending on different factors that are revealed and explained.

Keywords: financial market; stock market; foreign exchange market; GARCH; EGARCH; foreign exchange market GARCH (search for similar items in EconPapers)
Date: 2022
Note: View the original document on HAL open archive server: https://hal.science/hal-04875495v1
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in International Journal of Business, 2022, 27 (3)

Downloads: (external link)
https://hal.science/hal-04875495v1/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04875495

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().