Performances of Emerging Stock Exchanges During the Fed's Tapering Announcements


ENGİNAR O. , KARAN M. B. , Buyukkara G.

GLOBAL APPROACHES IN FINANCIAL ECONOMICS, BANKING, AND FINANCE, pp.415-443, 2018 (Journal Indexed in SSCI) identifier

  • Publication Type: Article / Article
  • Volume:
  • Publication Date: 2018
  • Doi Number: 10.1007/978-3-319-78494-6_20
  • Title of Journal : GLOBAL APPROACHES IN FINANCIAL ECONOMICS, BANKING, AND FINANCE
  • Page Numbers: pp.415-443

Abstract

This paper investigates abnormal returns of 19 emerging market equity portfolios during the Fed's tapering period. Event study methodology is used during the early Fed's announcements at 2013. The aim of the study is to evaluate both the event study methodology and abnormal return performance of the emerging market stock exchanges during tapering period. The authors also check for abnormal volatility during tapering announcements, specifying it with GARCH (1,1) model. The results indicate that, together with China and Greece, the fragile five economies are differentiated from the rest of the emerging markets during tapering announcements. Moreover, the striking result that the authors see is Turkey is affected more negatively than any other fragile five members in this period. Yet, the authors did not find any significant abnormal volatility effect brought by tapering announces. In addition, the authors find emerging markets are not semi-strong form efficient during tapering period.