The Speed of Stock Market Price Reactions to Fiscal Budget and Election Announcements in Five Middle-Eastern and African Countries

Authors

  • Azadeh Erfanian University Putra Malaysia, Malaysia
  • Mohamed Hisham Yahya University Putra Malaysia, Malaysia
  • Annuar Md Nassir University Putra Malaysia, Malaysia

DOI:

https://doi.org/10.32890/ijbf2016.12.2.3

Keywords:

Market-wide news, Price Adjustment, Market Efficiency, Information Flow, ARMA

Abstract

This paper provides evidence on how stock market index reacts to releases of market-relevant information by five Middle-eastern and North African country budget and general election results. After estimating the ARMA (1, 2) estimator using daily stock returns over a recent five-year period, it was found that the market price effect over is a 20-day test window. The stock price adjustment to national annual budget announcement is significant, and the speed of adjustment is around two days to announcement. The national general election news attracts a faster adjustment time in all five countries tested. These findings of macro level market price effects from two key events are new to the literature.

 

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Published

31-08-2016

Issue

Vol. 12 No. 2 (2016): International Journal of Banking and Finance (IJBF) Vol. 12, No.2, 2016

Section

Articles

How to Cite

Erfanian, A., Yahya, M. H., & Md Nassir, A. (2016). The Speed of Stock Market Price Reactions to Fiscal Budget and Election Announcements in Five Middle-Eastern and African Countries. International Journal of Banking and Finance, 12(2), 43-62. https://doi.org/10.32890/ijbf2016.12.2.3

Research impact

Harvested 2026-09-07
2 citations, from OpenAlex — the highest of the sources checked

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Identifiers DOI 10.32890/ijbf2016.12.2.3 OpenAlex W2897321488