Investor Panic, IMF Actions, and Emerging Stock Market Returns and Volatility
University of Marburg - School of Business & Economics
Ali M. Kutan
Southern Illinois University at Edwardsville
ZEI Working Paper No. B01-27
In this paper, we examine the reaction of stock market returns and volatility in a diverse group of six emerging markets to a set of IMF events. In particular, we test within a panel framework whether there was an "investor panic" causing a significant drop in stock market returns on the days of negative IMF events. We find that on average negative (positive) IMF news reduce (increase) daily stock returns by about one percentage point. The most influential single event is the delay of loans from the IMF, which reduces stock returns by about one and a half percentage points. IMF news do not have a significant impact on the volatility of stock markets. Thus, it appears that IMF actions and events primarily have an effect on pay-offs but not on risk, and do not appear to support the hypothesis of IMF induced "investor panics".
Number of Pages in PDF File: 31
Keywords: IMF news, stock market returns, emerging markets, financial markets
JEL Classification: F300, G100working papers series
Date posted: December 8, 2001
© 2015 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo7 in 0.266 seconds