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The Stock and CDS Market Consequences of Political Uncertainty: The Arab Spring
Emerging Markets Finance and Trade ( IF 4.859 ) Pub Date : 2021-08-02 , DOI: 10.1080/1540496x.2021.1937116
Başak Tanyeri 1 , Tanseli Savaser 2 , Naime Usul 3
Affiliation  

ABSTRACT

We investigate how political unrest affects asset prices in the context of the Arab Spring. Abnormal returns in the major stock-market indices of Arab Spring countries average −1.1% on key days of Arab Spring and abnormal changes in credit default spreads average 1.4%. There is significant reaction to region wide as well as local protests indicating a spillover with protests in neighboring countries affecting investors’ perception of local political instability and the pricing of assets. Once protests start locally, investors start paying more attention to what is happening at home than in the region. The significant stock market reaction to region-wide protests in Arab Spring countries indicates a spill-over where investors price an increase in the probability of political turmoil in one country when there are protests in neighboring countries. The decline in stock market indices coupled with the increase in credit default spreads indicates that investors anticipate and ex-ante price how current political uncertainty will affect firm value.



中文翻译:

政治不确定性对股票和 CDS 市场的影响:阿拉伯之春

摘要

我们调查了阿拉伯之春背景下政治动荡如何影响资产价格。在阿拉伯之春的关键日子里,阿拉伯之春国家主要股票市场指数的异常回报平均为-1.1%,信用违约利差的异常变化平均为 1.4%。整个地区以及当地的抗议活动都引起了强烈反应,这表明邻国的抗议活动会影响投资者对当地政治不稳定和资产定价的看法。一旦抗议活动在当地开始,投资者就会开始更多地关注国内发生的事情,而不是该地区发生的事情。股市对阿拉伯之春国家地区范围内抗议活动的重大反应表明,当邻国发生抗议活动时,投资者认为一个国家发生政治动荡的可能性会增加。

更新日期:2021-08-02
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