The price of terror: The effects of terrorism on stock market returns and volatility

Arın, K. Peren; Ciferri, Davide; Spagnolo, Nicola

doi:10.1016/j.econlet.2008.07.007

Cited by 240 publications

(157 citation statements)

References 11 publications

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“…They found that the abnormal return amounted to -0.92% on the event day -a more powerful response compared to that caused by earthquakes. Arin et al (2008) argued that terror does not only affect the level of prices, but also changes return volatility. Additionally, Drakos (2010) showed that the adverse stock market response can be exacerbated if attacks are followed by strong psychological effects.…”

Section: This Is the Post Review Final Submitted Author Manuscript Amentioning

confidence: 99%

Is There a Link between Politics and Stock Returns? A Literature Survey

Wisniewski

2015

SSRN Journal

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This survey starts by reviewing the literature investigating whether political connectedness of companies creates wealth for their shareholders. It then moves on to examine whether there is an association between the orientation of the political executive or the phase of the electoral cycle with movements of the stock market index. The price impact of politically-relevant events, such as wars, terrorist attacks, revolutions, coups or issuance of communications by those in positions of power is also discussed. The review closes with an examination of the impact of political uncertainty on stock markets and with a reflection on the direction of causality.JEL codes: G12; G14; G18; F50

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Section: This Is the Post Review Final Submitted Author Manuscript Amentioning

confidence: 99%

Is There a Link between Politics and Stock Returns? A Literature Survey

Wisniewski

2015

SSRN Journal

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“…Kollias, Papadaumou and Stagiannis (2011), by contrasting the stock behavior following the attacks in Madrid (2004) and London (2005), suggested that recovery may be affected by both the type of the attack, and the promptness and adequacy of the country's institutional responses, an argument that is supported by Essaddam and Karagianis (2014), and Aslam and Kang (2015). With regard to volatility, the literature suggests a significant increase for up to 15 days following the incident (Drakos, 2004;Essaddam & Karagianis, 2014), with some suggesting that this effect is larger in emerging markets (Arin et al, 2008). The event's specific characteristics have surfaced as a vital element of stock market reaction.…”

Section: Non-macro Events Of Instability and Stock Markets' Behaviormentioning

confidence: 84%

Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors

Zopiatis¹,

Savva²,

Lambertides³

et al. 2017

Proceedings of the 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017)

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Abstract. Following the recent terrorist attacks in Paris, the European media emphatically pronounced that billions of euros were wiped from tourism related stocks. This comes at a troublesome time for the tourism industry, in the midst of a global financial crisis, and the unpredictable rise of radical Islamic ideologies, which have caused chaos in the Middle East and Europe. The relationship and vulnerability of the industry to non-macro incidents have been well documented in the literature, mostly in theoretical terms. Nevertheless, the quantifiable impact of such events on tourism-specific stock values, both in terms of returns and volatility, received much less attention. With the use of an econometric methodology, the paper aims to enhance our conceptual capital pertaining to the effects of such possibilities on five hospitality and tourism stock indices. The empirical findings are of interest to stakeholders at all echelons of the spectra of the tourism and financial industries

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“…Arin et al (2008) inspected the effect of terrorist activities on the stock markets of 6 states (UK, Turkey, Thailand, Spain, Israel and Indonesia).…”

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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The price of terror: The effects of terrorism on stock market returns and volatility

Cited by 240 publications

References 11 publications

Is There a Link between Politics and Stock Returns? A Literature Survey

Is There a Link between Politics and Stock Returns? A Literature Survey

Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors

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

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