Show simple item record

AuthorAbuzayed, Bana
AuthorAl-Fayoumi, Nedal
Available date2020-10-13T11:00:38Z
Publication Date2017
Publication NameEmerging Markets Finance and Trade
ResourceScopus
ISSN1540496X
URIhttp://dx.doi.org/10.1080/1540496X.2016.1238357
URIhttp://hdl.handle.net/10576/16429
AbstractThis 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. Copyright 1 Taylor & Francis Group, LLC.
Languageen
PublisherRoutledge
Subjectevent study
free information
GCC
hypothesis
MSCI upgrade
multivariate GARCH
TitleAre Investors Concerned with Stock Market Upgrades? Evidence from Multivariate Framework Analysis
TypeArticle
Pagination2242-2258
Issue Number10
Volume Number53
dc.accessType Abstract Only


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record