The Impact of Political Events on Palestine Securities Exchange Returns :An Empirical Study Between (1997-2016)

Abstract

Abstract The Impact of Political Events on Palestine Securities Exchange Returns: An Empirical Study between (1997-2016) Prepared By: Subhi Maher Abu Omar Supervisor: Dr. Adnan Qubbaja

This study aims at testing the effects of political events on Palestine securities exchange returns: The study uses window events methodology to establish the behavior of stock return between (1997-2016).The event window constricted one day, 10 days, 15 days, and 20 days before and after the event. The study uses Standard Deviation Test, Skewness Test and Kurtosis Test. Additionally, the political events were divided into two categories, namely favorable political events and unfavorable political events. The data consisted of 7481 observations collected from (1997 to2016). The mean value for logarithmic returns was 0.0002333 with a minimum value of -0.16956 and maximum value of 0.18336. The disparity in the minimum and maximum values for the data shows the wide range in stock returns on different days. The standard deviation is 1.057854 % which means that the data has some deviations from the average value. Also, Kurtosis of 32.188 suggested the data to be slightly leptokurtic. The data has a skewness of 0.495, which is close to 0 suggesting the data to be normal. The overall results indicated that both favorable and unfavorable political events had no effect on Palestine securities return. This research is significant due to its longer period, larger sample, and enough background information to help investors make suitable decisions about entering such an emerging market, such as that of PEX. Moreover, analysis can be made on the industry level. The study can also examine the impact of these events on individual stock or/and portfolios. After concluding both companies and the PEX, the research provides more details and explanations about the reasons behind share price movements. This research can help investors in anticipating market performance by understanding the nature of the event. Further studies could be conducted by including more events relating to various sectors of society such as economic, military and events relating to neighboring countries. Researchers can expand their research by adding more political events to this model. Moreover, analysis can be done on the industry level to separately inspect separately the impact of these events on individual stock or on portfolios.