Asymmetric implied market volatility and terrorist attacks

Bevilacqua, Mattia; Morelli, David A.; Uzan, Paola Sultana Renée

doi:10.1016/j.irfa.2019.101417

Cited by 19 publications

(12 citation statements)

References 52 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Schwert's (1989a) longitudinal U.S. study investigating volatility determinants noted particular periods of fluctuation in bond returns during the U.S. civil war (1861-65) and the Great War , with the situation being less pronounced for stock returns. When we search for a contemporary example for the supposed link, we find a study of Bevilacqua et al (2020), who observe an effect of terrorist incidents on the VIX index when decomposed into put and call options, with an impact in the former rather than the latter. Other studies empirically trace realized volatility responses to terror events (see, for instance, Arin et al (2008); Nikkinen and Vähämaa (2010); and Essadam and Karagianis (2014)).…”

Section: Impact Upon Volatilitymentioning

confidence: 99%

“…We then extend the modeling beyond the historical perspective and examine the forwardlooking VIX index. The link between implied volatility and national security concerns has only been examined once in the prior literature (see Bevilacqua et al, 2020). The extant evidence shows that, in the face of terrorism, stock returns exhibit significantly elevated realized volatility, which is relatively short-lived (Essaddam and Mnasri, 2015).…”

Section: Impact Upon Volatilitymentioning

confidence: 99%

See 1 more Smart Citation

Perceptions of the threat to national security and the stock market

Omar

Lambe

Wisniewski

2021

Journal of Economic Behavior & Organization

View full text Add to dashboard Cite

This paper investigates the impact of national security concerns on equity valuations in the U.S. from 1985 to 2018. While existing literature focuses on actual events of a violent nature, our process is different. We examine the effect of continuous indices derived from media coverage of these issues. Our analysis documents that journalistic reportage can provoke significant changes in the first and, to a certain extent, the second moment of U.S. equity return distribution. These changes extend even beyond the impact of events that transpired. Furthermore, business confidence also appears to be undermined by media coverage of threats to the nation and its citizenry.

show abstract

Section: Impact Upon Volatilitymentioning

confidence: 99%

Section: Impact Upon Volatilitymentioning

confidence: 99%

Perceptions of the threat to national security and the stock market

Omar

Lambe

Wisniewski

2021

Journal of Economic Behavior & Organization

View full text Add to dashboard Cite

show abstract

“…Recent studies have found empirical evidence on the impact of terrorism on stock returns. These include Gok et al (2020) in Turkey, Khan and Ahmed (2019) in Pakistan, Bevilacqua et al (2019) in developed countries, Chaudhry et al (2018) in SAARC region and in Europe. These studies reported adverse impacts of terrorist attacks on financial market and economic development for their respective sample countries.…”

Section: Socio-political Turbulence and Firm Riskmentioning

confidence: 99%

Downside systematic risk in Pakistani stock market: role of corporate governance, financial liberalization and investor sentiment

Hussain

Akbar

Malik

et al. 2021

JABS

View full text Add to dashboard Cite

Purpose The purpose of this paper is to examine the impact of corporate governance, investor sentiment and financial liberalization on downside systematic risk and the interplay of socio-political turbulence on this relationship through static and dynamic panel estimation models. Design/methodology/approach The evidence is based on a sample of 230 publicly listed non-financial firms from Pakistan Stock Exchange (PSX) over the period 2008–2018. Furthermore, this study analyzes the data through Blundell and Bond (1998) technique in the full sample as well sub-samples (big and small firms). Findings The authors document that corporate governance mechanism reduces the downside risk, whereas investor sentiment and financial liberalization increase the investors’ exposure toward downside risk. Particularly, the results provide some new insights that the socio-political turbulence as a moderator weakens the impact of corporate governance and strengthens the effect of investor sentiment and financial liberalization on downside risk. Consistent with prior studies, the analysis of sub-samples reveals some statistical variations in large and small-size sampled firms. Theoretically, the findings mainly support agency theory, noise trader theory and the Keynesians hypothesis. Originality/value Stock market volatility has become a prime area of concern for investors, policymakers and regulators in emerging economies. Primarily, the existence of market volatility is attributed to weak governance, irrational behavior of market participants, the liberation of financial policies and sociopolitical turbulence. Therefore, the present study provides simultaneous empirical evidence to determine whether corporate governance, investor sentiment and financial liberalization hinder or spur downside risk in an emerging economy. Furthermore, the work relates to a small number of studies that examine the role of socio-political turbulence as a moderator on the relationship of corporate governance, investor sentiment and financial liberalization with downside systematic risk.

show abstract

“…They further showed that events that occurred within the U.S. appear to impact both VIX and VIX− in a similar way, whereas international terrorist attacks showed a greater impact on the puts component, VIX−. The calls component, VIX+, was found to be mainly detached from terrorist attacks [ 8 ]. Balcells assessed the effect of terrorism on public support for political parties and individuals’ willingness to participate in democratic elections and found that attacks were likely to increase individuals’ intent to participate in democratic elections but not to change their vote choice as reported in the surveys [ 9 ].…”

Section: Introductionmentioning

confidence: 99%

Spatiotemporal characteristics and driving forces of terrorist attacks in Belt and Road regions

Chen

2021

PLoS ONE

View full text Add to dashboard Cite

To achieve the strategic goals of the Belt and Road Initiative (BRI), it is necessary to deepen our understanding of terrorist attacks in BRI countries. First, we selected data for terrorist attacks in BRI regions from 1998 to 2017 from the Global Terrorism Database and analyzed their time distribution using trend analysis and wavelet analysis. Then, we used honeycomb hexagons to present the spatial distribution characteristics. Finally, based on the Fragile States Index, we used GeoDetector to analyze the driving forces of the terrorist attacks. The following conclusions were obtained: (1) During 1998–2017, the number of events was the highest on Mondays and the lowest on Fridays. In addition, the incidence of events was high between Monday and Thursday but was the lowest on Fridays and Saturdays. The number of events was the largest in January, May, July, and November and was the lowest in June and September; the incidence of terrorist attacks from April to May and July to August was high. (2) Terrorist attacks showed a 10-year cycle during the study period. Terrorist attacks in the last 10 years of the study period were broader in scope and higher in number compared with the previous 10 years. In addition, China, Russia, Saudi Arabia, and northeastern Europe saw many new terrorist attacks during the latter 10 years. (3) The number of terrorist attacks by bombing/explosion was the largest, followed by armed attack; assassination, kidnapping, and infrastructure attacks were the least frequent. The core areas of the terrorist attacks were Iraq, Israel, Afghanistan, Pakistan, and India. (4) The driving force analysis revealed that the indicators “security apparatus,” “human flight and brain drain,” and “external intervention” contributed the most to BRI terrorist attacks.

show abstract

Asymmetric implied market volatility and terrorist attacks

Abstract: The version in the Kent Academic Repository may differ from the final published version. Users are advised to check http://kar.kent.ac.uk for the status of the paper. Users should always cite the published version of record.

Cited by 19 publications

References 52 publications

Perceptions of the threat to national security and the stock market

Perceptions of the threat to national security and the stock market

Downside systematic risk in Pakistani stock market: role of corporate governance, financial liberalization and investor sentiment

Spatiotemporal characteristics and driving forces of terrorist attacks in Belt and Road regions

Contact Info

Product

Resources

About