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Could stocks hedge against inflation in the MENA region?
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 u...
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| Format: | Thesis |
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AUC Knowledge Fountain
2017
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| _version_ | 1867613411000451072 |
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| access_status_str | Open Access |
| author | El Adly, Laila |
| author_browse | El Adly, Laila |
| author_facet | El Adly, Laila |
| author_sort | El Adly, Laila |
| collection | Thesis |
| dc_rights_str_mv | 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. |
| description | 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. |
| format | Thesis |
| id | oai:fount.aucegypt.edu:etds-1615 |
| institution | American University in Cairo (Egypt) |
| last_indexed | 2026-06-10T12:35:42.290Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from AUC Knowledge Fountain — bepress |
| publishDate | 2017 |
| publishDateRange | 2017 |
| publishDateSort | 2017 |
| publisher | AUC Knowledge Fountain |
| publisherStr | AUC Knowledge Fountain |
| record_format | dspace |
| source_str | AUC Knowledge Fountain — bepress |
| spelling | oai:fount.aucegypt.edu:etds-1615 Could stocks hedge against inflation in the MENA region? El Adly, Laila 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. 2017-06-01T07:00:00Z thesis application/pdf https://fount.aucegypt.edu/etds/616 https://fount.aucegypt.edu/context/etds/article/1615/viewcontent/Thesis_20Updated_20with_20comments_2015.05.2017.pdf 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. Theses and Dissertations AUC Knowledge Fountain Unexpected inflation VECM |
| spellingShingle | Unexpected inflation VECM El Adly, Laila Could stocks hedge against inflation in the MENA region? |
| title | Could stocks hedge against inflation in the MENA region? |
| title_full | Could stocks hedge against inflation in the MENA region? |
| title_fullStr | Could stocks hedge against inflation in the MENA region? |
| title_full_unstemmed | Could stocks hedge against inflation in the MENA region? |
| title_short | Could stocks hedge against inflation in the MENA region? |
| title_sort | could stocks hedge against inflation in the mena region |
| topic | Unexpected inflation VECM |
| url | https://fount.aucegypt.edu/etds/616 https://fount.aucegypt.edu/context/etds/article/1615/viewcontent/Thesis_20Updated_20with_20comments_2015.05.2017.pdf |
| work_keys_str_mv | AT eladlylaila couldstockshedgeagainstinflationinthemenaregion |