Long-Term Stock Market Volatility and the Influence of Terrorist Attacks in Europe

2017 ◽  
Author(s):  
Shaen Corbet ◽  
Constantin Gurdgiev ◽  
Andrew Meegan
Keyword(s):  
Stock Market ◽  
Market Volatility ◽  
Terrorist Attacks ◽  
Stock Market Volatility

Stock Market Volatility and Terrorism: New Evidence from the Markov Switching Model

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Faheem Aslam ◽  
Hyoung-Goo Kang ◽  
Khurrum Shahzad Mughal ◽  
Tahir Mumtaz Awan ◽  
Yasir Tariq Mohmand
Keyword(s):  
Stock Market ◽  
Significant Risk ◽  
Market Volatility ◽  
Terrorist Attacks ◽  
Stock Market Volatility ◽  
Markov Switching Model ◽  
Physical Damage ◽  
Stock Market Returns ◽  
Switching Model ◽  
The Impact

AbstractTerrorism in Pakistan poses a significant risk towards the lives of people by violent destruction and physical damage. In addition to human loss, such catastrophic activities also affect the financial markets. The purpose of this study is to examine the impact of terrorism on the volatility of the Pakistan stock market. The financial impact of 339 terrorist attacks for a period of 18 years (2000–2018) is estimated w.r.t. target type, days of the week, and surprise factor. Three important macroeconomic variables namely exchange rate, gold, and oil were also considered. The findings of the EGARCH (1, 1) model revealed that the terrorist attacks targeting the security forces and commercial facilities significantly increased the stock market volatility. The significant impact of terrorist attacks on Monday, Tuesday, and Thursday confirms the overreaction of investors to terrorist news. Furthermore, the results confirmed the negative linkage between the surprise factor and stock market returns. The findings of this study have significant implications for investors and policymakers.

scholarly journals Anticipating Long-Term Stock Market Volatility

2014 ◽  
Vol 30 (7) ◽  
pp. 1090-1114 ◽  
Author(s):  
Christian Conrad ◽  
Karin Loch
Keyword(s):  
Stock Market ◽  
Market Volatility ◽  
Stock Market Volatility
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