top of page
Asian Institute of Research, Journal Publication, Journal Academics, Education Journal, Asian Institute
Asian Institute of Research, Journal Publication, Journal Academics, Education Journal, Asian Institute

Economics and Business

Quarterly Reviews

ISSN 2775-9237 (Online)

asian institute research, jeb, journal of economics and business, economics journal, accunting journal, business journal, managemet journal
asian institute research, jeb, journal of economics and business, economics journal, accunting journal, business journal, managemet journal
asian institute research, jeb, journal of economics and business, economics journal, accunting journal, business journal, managemet journal
asian institute research, jeb, journal of economics and business, economics journal, accunting journal, business journal, managemet journal
crossref
doi
open access

Published: 27 June 2019

Impact of Tunisian Revolution on the Relationship Between Macroeconomic Factors and Mutual Funds Performance

Marwa Zouaoui

University of Tunis, Tunisia

asian institute research, jeb, journal of economics and business, economics journal, accunting journal, business journal, management journal

Download Full-Text Pdf

doi

10.31014/aior.1992.02.02.103

Pages: 489-498

Keywords: Macroeconomic Factors, Arbitrage Pricing Theory, Regression Analysis, Revolution

Abstract

This paper aims first at determining the different macroeconomic factors that explain the variability of Tunisian mutual funds (UCITS) returns in the period of 2006 - 2016. Second, the paper tries to determine the effect of the Tunisian revolution on the relationship between the studied macroeconomic factors and returns of these investment funds. To this end, we will compare the impact of these variables on returns during the pre- and post-revolution period. The results show that all the macroeconomic factors significantly explain the variation of Tunisian UCITS funds returns. Moreover, the results reveal that the revolution has a significant impact on the relationship between our macroeconomic factors and returns. We also found that the impact of macroeconomic variables on UCITS funds returns, before and after 2011, is not the same. These findings may bear on the political, security, social, and economic instability that has been observed in Tunisia since 2011 and which has significantly influenced the studied macroeconomic factors.

References

  1. Akbar, M.I.,  Butt, A.R. & Chaudhr, A.F. (2018). An Empirical relationship between Macroeconomic Indicators and Pakistan Stock Market: 1992-2012. International Journal of Computer Science and Network Security,18, 17-26

  2. Barakat, M. R., Elgazzar, S. H. & Hanafy, K. M. (2016). Impact of Macroeconomic Variables on Stock Markets: Evidence from Emerging Markets. International Journal of Economics and Finance,8, 916-971.

  3. Boudoukh, J. & Richardson, M. (1993). Stock Returns and Inflation: A Long-Horizon Perspective. American Economic Review, 83, 1346-1355.

  4. Chen, N.; Roll, R. & Ross, S. A. (1986). Economic forces and the stock market. Journal of Business. 59, 383-403.

  5. Cherif, M. & Gazdar, K. (2010). Macroeconomic and institutional determinants of stock market development in MENA region: New results from a panel data analysis. International Journal of Banking and Finance, 7, 139-159

  6. Chkili, W., Hammoudeh, S. & Nguyen, D.K. (2014). Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory. Energy Economics, 41, 1-18.

  7. Cho, J. W., Choi, J. H., Kim, T., & Kim, W. (2016). Flight-to-quality and correlation between currency and stock returns. Journal of Banking & Finance, 62, 191–212.

  8. Drake, L., Maximilian J. B. H. & Simper, R. (2006). The impact of macroeconomic and regulatory factors on bank efficiency: A non-parametric analysis of Hong Kong’s banking system. Journal of Banking and Finance, 30, 1443-1466.

  9. Fama, E. F. (1981). Stock returns, real activity, inflation, and money. American Economic Review, 71, 545-565.

  10. Hamao, Y. (1988). Japanese Stocks, Bonds, Bills, and Inflation. Journal of Portfolio Management, 15, 20-26.

  11. Jeat, Y.X & Hassan, H.H (2019). The Impact of Economic Outlook on the Stock Market of the Service Sector in Malaysia. International Journal of Innovative Technology and Exploring Engineering, 8, 191-200.

  12. Khan J, Khan I (2018) The Impact of Macroeconomic Variables on Stock Prices: A Case Study of Karachi Stock Exchange. Business Economics Journal,9,1-8.

  13. Nisha, N. (2015). Impact of Macroeconomic Variables on Stock Returns: Evidence from Bombay Stock Exchange (BSE). The Journal of Investment Management,  4, 162-170

  14. Pilinkus, D. & Boguslauskas, V. (2009). The Short-run relationship between stock market prices and macroeconomic variables in Lithuania: an application of the impulse response function. Economics of Engineering Decisions, 5, 1-9.

  15. Rafay, A.; Naz, F.  & Rubab, S.( 2014). Causal relationship between macroeconomic variables: evidence from developing economy. Journal of Contemporary Issues in Business Research,3, 88-99

  16. Raza, S.A., Jawaid, S.T., Afshan, S.& Karim, M.Z.A. (2015). Is Stock Market Sensitive to Foreign Capital Inflows and Economic Growth? Evidence from Pakistan, Journal of Chinese Economic and Foreign Trade Studies, 8(3), 142-164.

  17. Ulah, W. G.M., Alam, M.S., Islam, A., & Khan, M.K. (2017). Effect of Macroeconomic Variables on Stock Market Performance of SAARC Countries? Asian Economic and Financial Review, 7, 770-779.

bottom of page