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

  • Onur EnginarEmail author
  • Mehmet Baha Karan
  • Göknur Büyükkara
Chapter
Part of the Contributions to Economics book series (CE)

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.

Keywords

Event study Abnormal return Fed’s tapering Emerging markets 

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Copyright information

© Springer International Publishing AG, part of Springer Nature 2018

Authors and Affiliations

  • Onur Enginar
    • 1
    Email author
  • Mehmet Baha Karan
    • 1
  • Göknur Büyükkara
    • 1
  1. 1.Hacettepe UniversityAnkaraTurkey

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