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Are Investors Concerned with Stock Market Upgrades? Evidence from Multivariate Framework Analysis

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  • Bana Abuzayed
  • Nedal Al-Fayoumi

Abstract

This study aims to examine the return and volatility responses to the announcement of stock market upgrades. It measures the direct effects of the recent Morgan Stanley Capital International (MSCI) upgrade of the Qatar, Dubai, and Abu Dhabi stock exchanges from frontier to emerging markets by applying a nontraditional dummy variable event study using multivariate BEKK and DCC GARCH models. The results show clear evidence that contradicts the free information hypothesis and supports the price pressure hypothesis. Initially, the MSCI upgrade led to positive feedback from active investors due to the belief that this announcement will attract foreign institutional investors who play a vital role in improving the market’s performance.

Suggested Citation

  • Bana Abuzayed & Nedal Al-Fayoumi, 2017. "Are Investors Concerned with Stock Market Upgrades? Evidence from Multivariate Framework Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(10), pages 2242-2258, October.
    • Handle: RePEc:mes:emfitr:v:53:y:2017:i:10:p:2242-2258
    DOI: 10.1080/1540496X.2016.1238357
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    Cited by:

    1. Charfeddine, Lanouar & Al Refai, Hisham, 2019. "Political tensions, stock market dependence and volatility spillover: Evidence from the recent intra-GCC crises," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).

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