Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/39476
Authors: 
Hayo, Bernd
Kutan, Ali M.
Year of Publication: 
2001
Series/Report no.: 
ZEI working paper B 27-2001
Abstract: 
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”.
Subjects: 
IMF news
stock market returns
emerging markets
JEL: 
F300
G100
Document Type: 
Working Paper

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