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dc.contributor.advisor Ahmed, Neveen
dc.contributor.author El Adly, Laila
dc.date.accessioned 2017-05-15T11:17:18Z
dc.date.available 2019-05-15T22:00:17Z
dc.date.created Spring 2017 en_US
dc.date.issued 2017-05-15
dc.identifier.uri http://dar.aucegypt.edu/handle/10526/5077
dc.description.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. en_US
dc.description.sponsorship 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. en_US
dc.format.extent 54 p. en_US
dc.format.medium theses en_US
dc.language.iso en en_US
dc.rights Author retains all rights with regard to copyright. en
dc.subject Unexpected inflation en_US
dc.subject VECM en_US
dc.subject ARMA en_US
dc.subject VECH-GARCH en_US
dc.subject Co-integration en_US
dc.subject Long Memory en_US
dc.subject MENA Region en_US
dc.subject.lcsh Thesis (M.S.)--American University in Cairo en_US
dc.title Could stocks hedge against inflation in the MENA region? en_US
dc.type Text en_US
dc.subject.discipline Finance en_US
dc.rights.access This item is restricted for 2 years from the date issued en_US
dc.contributor.department American University in Cairo. Dept. of Management en_US
dc.description.irb American University in Cairo Institutional Review Board approval has been obtained for this item. en_US
dc.contributor.committeeMember Bassiouny, Aliaa
dc.contributor.committeeMember Bouaddi, Mohammed


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  • Theses and Dissertations [1728]
    This collection includes theses and dissertations authored by American University in Cairo graduate students.

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