Abstract
The dissertation examines the effect of unexpected inflation on stock returns in the MENA region (Egypt, Jordan, Kuwait, Morocco, Qatar, United Arab Emirates (UAE), Tunisia, and Saudi Arabia). Our sample covers the MENA region over the period 2005 – 2016. We examine the long run relation between unexpected inflation and stock returns using the Vector Error Correction Model (VECM) and we model for the unexpected inflation using Autoregressive Moving Average (ARMA). Also, we capture the joint volatility dynamics between unexpected inflation and stock returns using the multivariate VECH-GARCH. The results reveal that there are variations depending on the country examined. Using Johansen (1995) trace test for co-integration, our results affirm the existence of long run relation between stock returns and unexpected inflation in Egypt and Jordan. As for the other countries, there are short-term dynamic linkages between the two variables in Kuwait, Morocco, Qatar, UAE, and Saudi Arabia. For modelling the volatility of unexpected inflation and stock returns, we use the VECH-GARCH. The volatility results suggest that the news effect has a significant and positive impact on stock returns in Jordan, Kuwait, Qatar, Dubai, and Saudi Arabia. On the other hand, the memory effect of the volatility in stock returns is significant for all countries except Tunisia and Egypt.
Department
Management Department
Degree Name
MS in Finance
Graduation Date
6-1-2017
Submission Date
May 2017
First Advisor
Ahmed, Neveen
Committee Member 1
Bassiouny, Aliaa
Committee Member 2
Bouaddi, Mohammed
Extent
54 p.
Document Type
Master's Thesis
Rights
The author retains all rights with regard to copyright. The author certifies that written permission from the owner(s) of third-party copyrighted matter included in the thesis, dissertation, paper, or record of study has been obtained. The author further certifies that IRB approval has been obtained for this thesis, or that IRB approval is not necessary for this thesis. Insofar as this thesis, dissertation, paper, or record of study is an educational record as defined in the Family Educational Rights and Privacy Act (FERPA) (20 USC 1232g), the author has granted consent to disclosure of it to anyone who requests a copy.
Institutional Review Board (IRB) Approval
Approval has been obtained for this item
Recommended Citation
APA Citation
El Adly, L.
(2017).Could stocks hedge against inflation in the MENA region? [Master's Thesis, the American University in Cairo]. AUC Knowledge Fountain.
https://fount.aucegypt.edu/etds/616
MLA Citation
El Adly, Laila. Could stocks hedge against inflation in the MENA region?. 2017. American University in Cairo, Master's Thesis. AUC Knowledge Fountain.
https://fount.aucegypt.edu/etds/616
Comments
I am indebted to my supervisor Professor Neveen Ahmed for her advice and support on my dissertation at the American University in Cairo. Her continuous encouragement and valuable contributions have turned my thesis research into a fruitful journey filled with learning. I would also like to thank Professor Mohammad Bouaddi for his appreciated inputs which pushed me to dive in further into the research.