Performances of emerging stock exchanges during the FED tapering announcements

This thesis study investigates abnormal returns of nineteen emerging market equity portfolios during the FED tapering period. Event study methodology is used during the early FED announcements at 2013. The aim of the study is to evaluate both the event study methodology and abnormal return performance of the emerging market stock exchanges during tapering period. I also check for abnormal volatility during tapering announcements, specify it with GARCH (1,1) model. The results indicate that, together with China and Greece, the fragile five economies are differentiated from the rest of the emerging markets during tapering announcements. Moreover, the striking result that the authors see is Turkey is affected more negatively than any other fragile five members in this period. Yet, I did not find any significant abnormal volatility effect brought by tapering announces. In addition, the authors find emerging markets are not semi-strong form efficient during tapering period.