Stock Return and Exchange Rate Changes Effect: Case of Tunindex
نویسندگان
چکیده
This study aims to examine the macroeconomic environment effect on Tunisian stock market index (5 days a weak Tunindex) from 01/02/2011 19/11/2019. GARCHM-X type models are used estimate volatility of daily returns series 2191 observations having no significant weakday’s effect. Once using interaction variables, GARCHM-XS model results capture macro-economic instability via exchange rate growth and post 2016. Then have be favourable ensure in market. And, policies aimed reduce necessity for Keywords: Tunisia, Tunindex volatility, model, Exchange rate, Economic Stability. DOI: 10.7176/EJBM/14-7-05 Publication date: April 30 th 2022
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ژورنال
عنوان ژورنال: European Journal of Business and Management
سال: 2022
ISSN: ['2222-2839', '2222-1905']
DOI: https://doi.org/10.7176/ejbm/14-7-05