Acts Of Terrorism And Their Impacts On Stock Index Returns And Volatility: The Cases Of The Karachi And Tehran Stock Exchanges

Nguyen, Anh P.; Enomoto, Carl E.

doi:10.19030/iber.v8i12.3199

Cited by 25 publications

(23 citation statements)

References 7 publications

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“…Such a finding is consistent with the studies of Hameed and Ashraf (2006) and Nguyen and Enomoto (2009).…”

Section: The Volatility Shift After 9/11supporting

confidence: 93%

“…The differences in volatility after 9/11 are clearly visible with majority of the firms documenting negative values for the change in standard deviation suggesting that share price changes pre 9/11 were far more erratic and volatile compared to their post 9/11 values. This observation is consistent with previous studies that have documented a significant shift in the volatility of share returns in Pakistan after the terrorist attacks of 9/11 (Hameed and Ashraf, 2006;Ahmed and Farooq, 2008;Nguyen and Enomoto, 2009;Suleman, 2012). 4 The present investigation examines the volatility of share returns across the 12 Islamic months both pre and post 9/11.…”

Section: An Overview Of the Karachi Stock Exchangesupporting

confidence: 91%

“…In developed markets, the market capitalization ratio to GDP is large and turnover is small. The Pakistani stock market stands in contrast to developed markets like the US in which the market capitalization to GDP ratio is 92 percent and turnover is 65 percent (Mustafa and Nishat, 2007). 2008 ;Nguyen and Enomoto, 2009;Suleman, 2012). For example, Ahmed and Farooq (2008) found that the conditional variance, risk premium and the asymmetric response of the conditional variance to past shocks in KSE returns changed significantly from their pre-9/11 levels during the post-9/11 period.…”

Section: An Overview Of the Karachi Stock Exchangementioning

confidence: 99%

See 2 more Smart Citations

Islamic calendar anomalies: Evidence from Pakistani firm-level data

Halari

Tantisantiwong

Power

et al. 2015

The Quarterly Review of Economics and Finance

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“…Such a finding is consistent with the studies of Hameed and Ashraf (2006) and Nguyen and Enomoto (2009).…”

Section: The Volatility Shift After 9/11supporting

confidence: 93%

Section: An Overview Of the Karachi Stock Exchangesupporting

confidence: 91%

Section: An Overview Of the Karachi Stock Exchangementioning

confidence: 99%

See 1 more Smart Citation

Islamic calendar anomalies: Evidence from Pakistani firm-level data

Halari

Tantisantiwong

Power

et al. 2015

The Quarterly Review of Economics and Finance

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show abstract

“…The author argues that terrorism creates more opportunities rather than a short-term disruption in the financial market. Nguyen & Enomoto (2009) study the impact of terrorism on the stock returns and volatility-behaviour. The study administered on the KSE and TSE of Pakistan and Iran.…”

Section: Terrorism and Financial Marketsmentioning

confidence: 99%

The impact of terrorism on Indian securities market

Shaikh

2019

Economic Research-Ekonomska Istraživanja

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The paper aims to examine the relationship between stock returns and terrorist attacks for the Indian securities market in last 30 years. The stock market returns have been modelled using conditional volatility framework, and there are good enough shreds of evidence to confirm that terrorist activity and cross-border tension has disrupted the investors' sentiment. The market response to the terrorist attack holds different facets like Target, Location, Number-of-perpetrators, and Property-value has produced a significant impact on the financial market. At the outset, attack day hold an adverse effect on the market and remains unstable till next few days followed by the recent terrorist attack. The results also imply that market participant considers the nature of terrorist attack in their portfolio selection and long-term investment strategy. The practical implications of the study are threefold: (i) investors do regard the terrorist attack in their investment proposal (ii) investors take the short position due to terrorist attack that result into the rise of general stock market volatility and (iii) the financial planning within short-horizon gets postponed followed by the recent terrorist attack. ARTICLE HISTORY

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“…Nguyen and Enomoto (2009) estimated the impact of 7 international terrorist incidents on the financial markets of Pakistan and Iran. They discovered that terrorist attacks in Indonesia, Iraq, London and Madrid had significant inverse impacts on the reaction of stock returns.…”

Section: Literature Reviewmentioning

confidence: 99%

The Impact of Major Terrorist Attacks on Stock Prices: The Case of Karachi Stock Exchange

Rehman

Ahmed²,

Kashif

et al. 2018

Asian Economic and Financial Review

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Article HistoryReceived: 8 January JEL Classification:C22, K42, O16, G12, G15.Terrorist attacks tend to happen concomitantly, begetting widespread violence, perturb individual routine life, bring dire effect on the economy and ultimately cause volatility in stock prices. This research tries to assess the impact of substantial terrorist incidents that took place in the last five years in Pakistan on returns of major stock indices. We divide the methodology section into two segments: Event study is used in the first part to analyze the effect of three baleful terrorist attacks by employing secondary data of stock prices of KSE 100-index and ten major sectors of Karachi Stock Exchange. EGARCH model is employed to model volatility in the second segment of this paper for estimating the impact of eleven major terrorist incidents. With regards to the result obtained, it is concluded that out of eleven terrorist attacks, three prominent terrorist incidents that claimed more than a hundred deaths have significant negative impact on stock returns, however, the eight-minor type of terrorist activities don't impact stock returns of KSE 100-index in a significant way. Contribution/ Originality:This study contributes in the existing literature in a way that very few researches have been conducted to analysis the impact of terrorism on financial market in Pakistan. Moreover, this study uses new estimation methodology i.e. event study which has not been applied by any researcher previously in similar kind of study and then EGARCH model is employed to model the return volatility based on eleven major terrorists attacks in Pakistan.

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Acts Of Terrorism And Their Impacts On Stock Index Returns And Volatility: The Cases Of The Karachi And Tehran Stock Exchanges

Cited by 25 publications

References 7 publications

Islamic calendar anomalies: Evidence from Pakistani firm-level data

Islamic calendar anomalies: Evidence from Pakistani firm-level data

The impact of terrorism on Indian securities market

The Impact of Major Terrorist Attacks on Stock Prices: The Case of Karachi Stock Exchange

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