The main objective of this article is to analyze and compare the impact of political uncertainty and financial crises on stock market volatility in 10 MENA countries over the period 2005–2018. To test our hypothesis, a variety of GARCH models are used. The results indicate that political events have more significant effect than financial crises on stock market volatility, as we detect an increase in market volatility during political elections and terrorist attacks. The comparative tests employed to identify the best GARCH model in capturing stock markets volatilities reveal that GARCH/EGARCH models perform the best in our study. EGARCH model is more suitable during unpredictable events while GARCH model work well during predictable events. Additionally, we found that the reaction of investors is not similar during the three events studied. In fact, terrorist attacks admit a more significant effect than political election periods. We observed that the reaction of the stock market during expected events is not instantaneous, whereas it is instantaneous during unexpected events. Overall, our findings are of great significance for investors and market regulators in understanding the role of major events on stock market stability, particularly in MENA region.

中文翻译：

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政治不确定性、金融危机和股市波动：来自中东和北非地区的证据

本文的主要目的是分析和比较 2005 年至 2018 年期间政治不确定性和金融危机对 10 个中东和北非国家股市波动的影响。为了检验我们的假设，使用了多种 GARCH 模型。结果表明，政治事件对股市波动的影响比金融危机更显着，因为我们发现在政治选举和恐怖袭击期间市场波动增加。用于确定捕获股票市场波动性的最佳 GARCH 模型的比较测试表明，GARCH/EGARCH 模型在我们的研究中表现最好。EGARCH 模型更适用于不可预测的事件，而 GARCH 模型在可预测的事件中表现良好。此外，我们发现在所研究的三个事件中，投资者的反应并不相似。事实上，恐怖袭击承认比政治选举时期的影响更显着。我们观察到，股票市场在预期事件中的反应不是瞬时的，而在意外事件中则是瞬时的。总体而言，我们的研究结果对于投资者和市场监管机构了解重大事件对股市稳定的作用具有重要意义，尤其是在中东和北非地区。