BFS 2002

Poster Presentation

The Tunisian stock market responses to macroeconomic announcements

Nejla Bergaoui, Abdelwahed Trabelsi

Compared to the large amount of research on the US market, there is little published evidence on the relationship between the behavior of stock returns and different macro-economic variables, on markets outside the US, especially in developing countries. In this paper we examine the response of the Tunisian stock market, to macroeconomic announcements such as inflation, stock of money (M2), money market interest rate variations, and real activity. First, we analyze the response of the stock market to macroeconomic announcements during the days of announcements by combining the daily returns of the stock market index with the unanticipated components of the various announcements. The behavior of these latter has been captured using ARIMA and VAR models. Second, we examine the evidence about the variability of the stock market responses to macroeconomic announcements through the states of the economy. According to this analysis, we suggest that the variation of the money market interest rate and the growth rate of the industrial production are the only information to which the stock market adjusts rapidly. Empirical findings show that there is evidence of stock market asymmetry response to the announcement of M2. In addition, we analyze the monthly real return sensitivity of the BVMT stock market index to macroeconomic announcements. Our results seem to confirm that the money market interest rate and M2 are the only economic information that affect the monthly returns of the stock market index. Results concerning the announcement effect of other economic indicators vary with different methods used for the classification of economic states. Finally, the results of the test of asymmetry hypothesis of the stock market responses to macroeconomic announcements seem, also to depend on these methods of classification.
Keywords: Macroeconomic announcements, stock market, classification of the states of the economy, ARIMA models, VAR models.