Impact of Tunisian Revolution on the Relationship Between Macroeconomic Factors and Mutual Funds Performance

This paper aims first at determining the different macroeconomic factors that explain the variability of Tunisian mutual funds (UCITS) returns in the period of 2006 - 2016. Second, the paper tries to determine the effect of the Tunisian revolution on the relationship between the studied macroeconomic factors and returns of these investment funds. To this end, we will compare the impact of these variables on returns during the pre- and post-revolution period. The results show that all the macroeconomic factors significantly explain the variation of Tunisian UCITS funds returns. Moreover, the results reveal that the revolution has a significant impact on the relationship between our macroeconomic factors and returns. We also found that the impact of macroeconomic variables on UCITS funds returns, before and after 2011, is not the same. These findings may bear on the political, security, social, and economic instability that has been observed in Tunisia since 2011 and which has significantly influenced the studied macroeconomic factors.