Impact of terrorist attacks on stock market volatility in emerging markets

Mnasri, Ayman; Nechi, Salem

doi:10.1016/j.ememar.2016.08.002

Cited by 59 publications

(45 citation statements)

References 61 publications

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“…However, the related literature mostly considers developed economies ( Choudhry, 2010 , Essaddam and Karagianis, 2014 , Laborda and Olmo, 2019 ), and to lesser extent large emerging economies such as China and India ( e.g., Balcilar et al, 2018 ; Bouras et al, 2018 ) as well as smaller emerging economies in the Asia-Pacific region such as Indonesia, Malaysia, Thailand, and Pakistan (e.g., Kannadhasan and Das, 2020 , Hoque and Zaidi, 2020 ). Fewer studies ( Mnasri and Nechi, 2016 ; Charfeddine and Al Refai, 2019 ) 1 focus on the Gulf Cooperation Council (GCC) region, which includes some of the nations that have been particularly exposed to geopolitical tension (e.g. Arab uprisings, wars).…”

Section: Introductionmentioning

confidence: 99%

Predictability of GCC stock returns: The role of geopolitical risk and crude oil returns

Alqahtani

Bouri

2020

Economic Analysis and Policy

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Stock return predictability has always been one of the central themes of finance literature, given its crucial implications for investment decisions, risk management, and financial and monetary policymaking. This paper evaluates the in-sample and out-of-sample stock return predictive power of the global and Saudi geopolitical risk indices and crude oil returns in the context of six Gulf Cooperation Council (GCC) countries. Monthly data from February 2007 to December 2019 and the feasible generalized least square (FGLS) estimator for predictive modelling by Westerlund and Narayan (2012, 2015) are used. Global and Saudi GPR indices show weak evidence of in-sample predictability of excess stock returns. However, the out-of-sample forecasts show that only the global geopolitical risk index provides superior prediction in the context of Kuwaiti and Omani stock markets, compared to the historical average benchmark model. Crude oil prices are shown to be a better predictor in most cases, in both in-sample and out-of-sample forecast models The results imply that crude oil returns can be used for active prediction of GCC stock market returns, once econometric issues are accounted for. The findings remain mostly unaffected when excess risk adjusted returns are used.

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Section: Introductionmentioning

confidence: 99%

Predictability of GCC stock returns: The role of geopolitical risk and crude oil returns

Alqahtani

Bouri

2020

Economic Analysis and Policy

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“…Since geopolitical risk index is a newly developed index, it has not been widely explored by researchers. However, there are many studies that investigate the impacts of events such as elections, governmental changes, political upheavals, civil strife, and terrorist attacks on economic and financial performances (Antonakakis et al, 2014;Apergis & Apergis, 2016;Aslam & Kang, 2015, Arin et al, 2008Balcilar et al, 2018;Barros & Gil-Alana, 2009;Chen & Siems, 2004;Chesney, Reshetar, & Karaman, 2011;Darkos, 2010;Kollias, Manou, et al, 2011;Kollias, et al, 2013;Lehkonen & Heimonen, 2015;Mnasri & Nechi, 2016;Wisniewski, 2016). Most of these studies have documented that the effects of such events on stock market returns are negative.…”

Section: Related Existing Studiesmentioning

confidence: 99%

Oil price shocks, global economic policy uncertainty, geopolitical risk, and stock price in Malaysia: Factor augmented VAR approach

Hoque

Wah

Zaidi

2019

Economic Research-Ekonomska Istraživanja

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This article examines the impacts of the geopolitical risk, global economic policy uncertainty, and oil price shocks on stock prices in Malaysia using factor augmented SVAR approach. The findings show that while geopolitical risk has no significant direct impacts on the overall stock market, its indirect impacts are significant and transmitted through the global economic policy uncertainty and oil shocks channels. Global economic policy uncertainty exerts negative effects on the overall stock market and its impacts are magnified by geopolitical risk. Oil related shocks exhibit asymmetric effects on both the aggregated and sectoral stock price. The impacts of oil demand shock on stock price are amplified by global economic uncertainty factor whereas oil supply shocks impacts are amplified by the geopolitical risk factor. At sectoral level, the impacts of all the global shocks vary across different sectors and time. The overall findings imply that global economic policy uncertainty and oil demand shock factors are systematic risk factors that can be employed to forecast stock market returns. The findings also provide implications for policymakers to regulate markets in maintaining financial stability and investors to react to future shocks in these global economic factors with regard to the risks and opportunities.

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“…For example, Hobbes et al (2016) measured the impact of 28 terrorist and military incidents between a time span of 1963-2012 and concluded that stock perform worse on the days of terrorism events than on the days of military events. Ayman Mnasri, Salem Nechi (2016) has examined the impact of terrorist attacks on stock market volatility in emerging markets of MENA region (Middle East and North African countries) and concluded that impact of terrorism attacks on financial markets" volatility lasts for 20 days.…”

Section: Literature Reviewmentioning

confidence: 99%

“…In the existing literature, studies show that impact of terrorism attacks on stock markets, on stock return, on stock prices, on financial markets, and on spillover effect have been examined separately and these studies also show that only major terrorism attacks have been taken to examine the impact of terrorism attacks on stock markets, on stock return, on stock prices, on financial markets, and on spillover effect. (Mnasri and Nechi, 2016;Estrada and Koutronas (2016) ;Hobbs et al 2016; Apergis and Apergis (2016); Kolaric and Schiereck (forthcoming) ; Essaddam and Mnasri (2015;Essaddam and Karagianis (2014); Alam (2013); Aslam and Kang (2013); Ramiah and Graham (2013); Chesney, Reshtar, and Karaman (2011); Kollias, Papadamou, and Stagiannis (2011); M. ; Peleg, Regens, Gunter, and Jaffel (2011);Panagiotis and Liargovas (2010); Konstantenos Drakos (2010); Brounrn and Derwall (2010); Cam (2008);G.Andrew, karolyi and Rodolfo Martell, 2006;Berrebi and Klor (2005); Johnson and Nedelescu (2005); Cater and Simkin (2004); Drakas (2004), ; ).…”

Section: Introductionmentioning

confidence: 99%

Impact of Terrorism on Stock Market: A Case of South Asian Stock Markets

Kousar

Imran

Khan

et al. 2019

JAFEE

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The purpose of this study is to examine the impact of terrorism on stock markets of South Asia namely, Karachi Stock Exchange 100 index (Pakistan), Bombay Stock Exchange (India), Colombo Stock Exchange (Sri Lanka) and Chittagong Stock Exchange (Bangladesh). Monthly panel data has been used for the period of January 2000 to December 2016. Terrorism events happened during the period of 2000 to 2016 have been incorporated to examine the impact of terrorism on stock market returns of South Asia. DCC GARCH through R software is used to analyze the impact of terrorism on stock market returns and to analyze the spillover effect of terrorism in one country and on the stock markets of other countries of South Asia. The results indicate that terrorism has significant and negative effect on stock market returns of Pakistan, India and Bangladesh but insignificant in Sri Lanka. Results also shows that stock markets return of Pakistan, India, and Bangladesh are significant and positively correlated with each other except the Stock market of Sri Lanka.

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Impact of terrorist attacks on stock market volatility in emerging markets

Cited by 59 publications

References 61 publications

Predictability of GCC stock returns: The role of geopolitical risk and crude oil returns

Predictability of GCC stock returns: The role of geopolitical risk and crude oil returns

Oil price shocks, global economic policy uncertainty, geopolitical risk, and stock price in Malaysia: Factor augmented VAR approach

Impact of Terrorism on Stock Market: A Case of South Asian Stock Markets

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