Taoufik Bouraoui

The impact of stock spams on volatility

This article is dedicated to study the impact of stock spams through the analysis of the variations of volatility. Our sample contains 110 firms quoted on emerging market, namely the penny stock market. The results, based on event study methodology and Generalized Autoregressive Conditional Heteroscedastic (GARCH) modelling, show positive and significant changes in volatility; a widening of the variation (lowest price–highest price) was noticed following the consignment of messages by the spammers. The sending of stock spams affected the behaviour of investors, thus indicating that the spamming activity is a lucrative business.

The effect of reducing quantitative easing on emerging markets

On 22 May and 19 June 2013, the US Federal Reserve (Fed) announced a reduction in the asset purchase programme of its quantitative easing policy. This article investigates the impact of this news on the currencies of emerging markets. Using event study methodology, our results report a global significant depreciation in the currencies of all emerging markets in our sample, but with different depreciation sizes from one market to another. To test whether the depreciation in currencies is driven by capital flow components, a regression analysis is performed. Inward FDI as well as outward FDI appear to have more explanatory power than inward and outward portfolio investment in explaining the impact. With the slowdown in asset purchases by the Fed, emerging countries have incurred large capital outflows from their markets to the US market, resulting in a drop in their currencies.

Does political instability affect exchange rates in Arab Spring countries

ABSTRACT This article investigates the dynamic relationship between political instability and exchange rates in five Arab Spring countries over the period 1992Q1–2016Q4. We include macroeconomic fundamentals to identify the transmission channels through which political instability may affect exchange rates. Based on VAR and ARDL models, our results report that political instability is associated with a significant drop in the value of domestic currencies of these countries. Economic growth is found to be the key mechanism channel. We find also that the dependence between variables is more emphasized in the short run than in the long run.

On the Determinants of the THB/USD Exchange Rate☆

Abstract The exchange rate behavior model is among the unsolved research issues, and it should be addressed because of the crucial significance of exchange rates for the economy. This article investigates the macroeconomic fundamentals that may explain the behavior of the exchange rate of the Thai Baht against the US dollar. We use monthly data for the period 2004-2013. Based on a multiple regression approach, our empirical results reveal that the terms of trade and international reserves have a statistically significant impact on the nominal exchange rate THB/USD. However, the interest rates differential, the manufacturing production index, the monetary base and government debt do not exhibit a significant relationship with the exchange rate in Thailand.