Title: Long memory properties on Tunisian sectorial stock market index volatilities: evidence from FIEGARCH model

Authors: Mohamed Fakhfekh; Ahmed Jeribi; Nejib Hachicha

Addresses: Department of Financial and Accounting, Faculty of Economics and Management of Sfax (FSEGS), Tunisia ' Department of Financial and Accounting, Faculty of Economics and Management of Sfax (FSEGS), Tunisia ' Department of Quantitative Methods, Faculty of Economics and Management of Sfax (FSEGS), Tunisia

Abstract: We investigate the impact of Tunisian revolution on two fundamental features of stock index returns, namely, the long memory, the asymmetric and leverage effects. Firstly, we apply the ICSS procedure to identify the eventual existence of structural breaks in volatility and secondly, we use the fractionally integrated exponential GARCH (FIEGARCH) which estimates a direct shock-persistence as well as a shock asymmetric volatility measurement. Applied to the daily returns relevant to nine sectorial stock indices and to the benchmark Tunisian index, our findings suggest that shock impact on construction, raw materials and financial service index volatility returns proves to be permanent during the revolution period, while its persistence in the other indices is found to be transitory. The leverage effect is negative, but our achieved results revealed a lower leverage effect in all indices. These results seem to be very important since the Tunisian revolution has a very important effect on the Tunisian stock exchange.

Keywords: Tunisian revolution; sectorial stock indices; ICSS procedure; FIEGARCH model; Tunisia; long memory; stock market volatility; asymmetric effects; leverage effects; construction; raw materials; financial services.

DOI: 10.1504/IJSE.2015.072201

International Journal of Sustainable Economy, 2015 Vol.7 No.4, pp.280 - 305

Received: 24 Feb 2015
Accepted: 26 Apr 2015
Published online: 03 Oct 2015 *

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