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Stock markets and terrorist attacks: Comparative evidence from a large and a small capitalization market

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Author Info

  • Kollias, Christos
  • Manou, Efthalia
  • Papadamou, Stephanos
  • Stagiannis, Apostolos

Abstract

An expanding body of literature has investigated the economic impact of terrorist attacks. A part of this literature has focused on financial markets. We examine three research questions: whether markets' reactions to terrorism have changed through time; whether market size and maturity determine reactions, and whether reactions depends upon either the type of targets or the perpetrators of the attack. To this effect, a large – the London stock exchange – and a small – the Athens stock exchange – capitalization markets are used as the vehicles for the empirical investigation. Results from an event study methodology as well as from conditional volatility models suggest that size and maturity as well as specific attributes of terrorist incidents are possible determinants of markets' reactions.

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Bibliographic Info

Article provided by Elsevier in its journal European Journal of Political Economy.

Volume (Year): 27 (2011)
Issue (Month): S1 ()
Pages: S64-S77

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Handle: RePEc:eee:poleco:v:27:y:2011:i:s1:p:s64-s77

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Web page: http://www.elsevier.com/locate/inca/505544

Related research

Keywords: Terrorism; Financial markets; Conditional volatility; Event study;

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  1. repec:diw:diwdiw:diwepb21 is not listed on IDEAS
  2. Christos Kollias & Stephanos Papadamou, 2012. "Terrorism and Market Jitters," EUSECON Policy Briefing 21, DIW Berlin, German Institute for Economic Research.
  3. Christos Kollias & Stephanos Papadamou & Costas Siriopoulos, 2012. "Terrorism Induced Cross-Market Transmission of Shocks: A Case Study Using Intraday Data," Economics of Security Working Paper Series 66, DIW Berlin, German Institute for Economic Research.
  4. Christos Kollias & Stephanos Papadamou & Costas Siriopoulos, 2013. "European Markets’ Reactions to Exogenous Shocks: A High Frequency Data Analysis of the 2005 London Bombings," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 1(4), pages 154-167, November.

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