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How Do Macroeconomic Variables Volatilities Affect Stock Markets Dynamics? Evidence From MENA Zone

Author

Listed:
  • Christian de Peretti

    (ECL - École Centrale de Lyon - Université de Lyon, LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

  • Nesrine Mechri

    (UR CONFLUENCE : Sciences et Humanités (EA 1598) - UCLy - UCLy (Lyon Catholic University), ESDES - ESDES, Lyon Business School - UCLy - UCLy - UCLy (Lyon Catholic University))

  • Salah Ben Hamad

    (Université de Sfax - University of Sfax)

Abstract

This research explores the impact of five macroeconomic variables volatilities on the fluctuations of stock markets returns, considering five countries from MENA zone. We contribute to the existing literature by introducing a new framework based on an EGARCH model that combine simultaneously five macroeconomic variables as explicative powers that has never been established before in such an issue. An economic examination in presented about the impact of several key macroeconomic variables prices and volatilities on different stock markets returns. Empirically, four GARCH models are tested and interpreted. The results are of great interest for portfolio managers and international investors since detecting the source of stock market volatility is an actual issue. According to the findings, we conclude that stock markets dynamics are not influenced by the same fluctuations of the same macroeconomic variables, depending on different factors that are revealed and explained.

Suggested Citation

  • Christian de Peretti & Nesrine Mechri & Salah Ben Hamad, 2022. "How Do Macroeconomic Variables Volatilities Affect Stock Markets Dynamics? Evidence From MENA Zone," Post-Print hal-04875495, HAL.
    • Handle: RePEc:hal:journl:hal-04875495
    Note: View the original document on HAL open archive server: https://hal.science/hal-04875495v1
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    References listed on IDEAS

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