Show simple item record

dc.contributor.advisor Bassiouny, Aliaa
dc.contributor.author Mohamed Alaaeldin, Salma
dc.date.accessioned 2018-07-22T07:47:37Z
dc.date.created Summer 2018 en_US
dc.date.issued 2018-07-22
dc.identifier.uri http://dar.aucegypt.edu/handle/10526/5463
dc.description.abstract There is extensive debate on whether political risk is an important factor that influences financial markets and investment decision, especially in developing economies. The main aim of this thesis is to analyze the effect of political risk on stock market returns while controlling for financial risk, economic risk, interest rates and foreign exchange rates. The main methodology involves estimating the model using a regime switching model to account for changes in volatility. The sample period starts from January 2007 to August 2017. The data includes: EGX30 returns over the period, Political risk as proxied by International Country Risk Guide (ICRG) political risk index, economic risk as proxied by International Country Risk Guide (ICRG) economic risk index, financial risk as proxied by International Country Risk Guide (ICRG) financial risk index, Interest rate corridor rate offered by central bank and the Exchange rate between Egyptian pound and US Dollar. The results of the thesis show that political risk proves to be a significant driver for the market returns during high volatility regimes that reflects an unrest in the market, while its impact disappear during stable times. en_US
dc.description.sponsorship I wish to express my deep gratitude for the people who invested their time and effort to finish this thesis; I truly appreciate Dr. Aliaa Bassiouny's help, advice, patience, good heart, wit, and guiding ideas to get this done. Also I would like to thank Dr. Mohamed Bouaddi for having an always opened door and his help with the model, never sparing time nor effort to offering help and knowledge. I would like to thank Dr. Neveeen for accepting reading my thesis on such short notice. Thanks to my father, mother, sister, wife, and my friend Kareem Al-Massry, without their support and prayers, this paper will have never been completed. en_US
dc.format.extent 42 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 Arab Spring en_US
dc.subject Political Risk en_US
dc.subject Egypt en_US
dc.subject ICRG en_US
dc.subject PRS en_US
dc.subject Switching Model en_US
dc.subject.lcsh Thesis (M.S.)--American University in Cairo en_US
dc.title Political risk effect on financial market returns; between magnification and neglection: Evidence from Egyptian stock market en_US
dc.type Text en_US
dc.subject.discipline Finance en_US
dc.rights.access This item is restricted for 1 year from the date issued en_US
dc.contributor.department American University in Cairo. Dept. of Management en_US
dc.embargo.lift 2019-07-22T07:47:37Z
dc.description.irb American University in Cairo Institutional Review Board approval is not necessary for this item, since the research is not concerned with living human beings or bodily tissue samples. en_US
dc.contributor.committeeMember Bouaddi, Mohamed
dc.contributor.committeeMember Ahmed, Neveen


Files in this item

Icon

This item appears in the following Collection(s)

  • Theses and Dissertations [1532]
    This collection includes theses and dissertations authored by American University in Cairo graduate students.

Show simple item record