Graduation Year

Fall 2012

Document Type

Open Access Senior Thesis

Degree Name

Bachelor of Arts

Department

Economics

Reader 1

Janet Smith

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Terms of Use for work posted in Scholarship@Claremont.

Rights Information

© 2012 Rachit Khaitan

Abstract

Previous empirical analyses have concluded that political events can have significant linkages with stock returns. Using Brown & Warner’s (1984) OLS market model, I examine the effect of political disruptions in the 2010-2011 Arab uprisings on major stock indices of Egypt, Tunisia, Jordan, Lebanon, Saudi Arabia, Dubai and London. My analysis finds mostly negative abnormal returns, highly statistically significant relative to the S&P 500, associated with many key events between December 1st, 2010 and December 1st, 2011. My findings suggest that the loss of investor wealth can be attributed to dramatic regime changes and large scale protests during that time period.

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Economics Commons

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