Switching to floating exchange rates, devaluations and stock returns in MENA countries

Andrea Cipollini, Andrea Cipollini, Georgios Chortareas, Mohamed Abdelaziz Eissa

Research output: Contribution to journalArticle

6 Citations (Scopus)

Abstract

We test for the impact of the announcements of floating and/or devaluating the exchange rate on stock returns in three MENA countries after the financial crises they experienced. We, first, use an event-study methodology to test for event-induced abnormal volatility of stock returns in Egypt, Morocco and Turkey. We, then, use three different methodologies to test for abnormal returns: a traditional approach and two approaches that control for event-induced volatility. We find clear evidence of abnormal volatility and abnormal returns due to the floating of the Egyptian and Turkish exchange rates in 2003 and 2001, respectively. In contrast, our results do not show that the devaluation of the Moroccan currency in 2001 resulted in abnormal volatility and/or abnormal returns.
Original languageEnglish
Pages (from-to)-
Number of pages9
JournalInternational Review of Financial Analysis
Volume21
Publication statusPublished - 2012

Fingerprint

Devaluation
Stock returns
Floating exchange rates
Middle East and North Africa
Abnormal returns
Floating
Exchange rates
Currency
Announcement
Egypt
Event study methodology
Morocco
Methodology
Turkey
Financial crisis

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

Cite this

Switching to floating exchange rates, devaluations and stock returns in MENA countries. / Cipollini, Andrea; Cipollini, Andrea; Chortareas, Georgios; Eissa, Mohamed Abdelaziz.

In: International Review of Financial Analysis, Vol. 21, 2012, p. -.

Research output: Contribution to journalArticle

Cipollini, Andrea ; Cipollini, Andrea ; Chortareas, Georgios ; Eissa, Mohamed Abdelaziz. / Switching to floating exchange rates, devaluations and stock returns in MENA countries. In: International Review of Financial Analysis. 2012 ; Vol. 21. pp. -.
@article{e027e8c049c94141805b748ee8eaf3aa,
title = "Switching to floating exchange rates, devaluations and stock returns in MENA countries",
abstract = "We test for the impact of the announcements of floating and/or devaluating the exchange rate on stock returns in three MENA countries after the financial crises they experienced. We, first, use an event-study methodology to test for event-induced abnormal volatility of stock returns in Egypt, Morocco and Turkey. We, then, use three different methodologies to test for abnormal returns: a traditional approach and two approaches that control for event-induced volatility. We find clear evidence of abnormal volatility and abnormal returns due to the floating of the Egyptian and Turkish exchange rates in 2003 and 2001, respectively. In contrast, our results do not show that the devaluation of the Moroccan currency in 2001 resulted in abnormal volatility and/or abnormal returns.",
author = "Andrea Cipollini and Andrea Cipollini and Georgios Chortareas and Eissa, {Mohamed Abdelaziz}",
year = "2012",
language = "English",
volume = "21",
pages = "--",
journal = "International Review of Financial Analysis",
issn = "1057-5219",
publisher = "Elsevier Inc.",

}

TY - JOUR

T1 - Switching to floating exchange rates, devaluations and stock returns in MENA countries

AU - Cipollini, Andrea

AU - Cipollini, Andrea

AU - Chortareas, Georgios

AU - Eissa, Mohamed Abdelaziz

PY - 2012

Y1 - 2012

N2 - We test for the impact of the announcements of floating and/or devaluating the exchange rate on stock returns in three MENA countries after the financial crises they experienced. We, first, use an event-study methodology to test for event-induced abnormal volatility of stock returns in Egypt, Morocco and Turkey. We, then, use three different methodologies to test for abnormal returns: a traditional approach and two approaches that control for event-induced volatility. We find clear evidence of abnormal volatility and abnormal returns due to the floating of the Egyptian and Turkish exchange rates in 2003 and 2001, respectively. In contrast, our results do not show that the devaluation of the Moroccan currency in 2001 resulted in abnormal volatility and/or abnormal returns.

AB - We test for the impact of the announcements of floating and/or devaluating the exchange rate on stock returns in three MENA countries after the financial crises they experienced. We, first, use an event-study methodology to test for event-induced abnormal volatility of stock returns in Egypt, Morocco and Turkey. We, then, use three different methodologies to test for abnormal returns: a traditional approach and two approaches that control for event-induced volatility. We find clear evidence of abnormal volatility and abnormal returns due to the floating of the Egyptian and Turkish exchange rates in 2003 and 2001, respectively. In contrast, our results do not show that the devaluation of the Moroccan currency in 2001 resulted in abnormal volatility and/or abnormal returns.

UR - http://hdl.handle.net/10447/99053

M3 - Article

VL - 21

SP - -

JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

SN - 1057-5219

ER -