The price of terror: The effects of terrorism on stock market returns and volatility
In this paper we investigate the effects of terrorism on the financial markets. Evidence from six different financial markets shows that terror has a significant impact on both stock markets and the stock market volatility, and the magnitude of these effects are larger in emerging markets.
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- Karolyi, G. Andrew & Martell, Rodolfo, 2005. "Terrorism and the Stock Market," Working Paper Series 2005-19, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Eckstein, Zvi & Tsiddon, Daniel, 2004.
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- Eckstein, Zvi & Tsiddon, Daniel, 2004. "Macroeconomic Consequences of Terror: Theory and the Case of Israel," CEPR Discussion Papers 4427, C.E.P.R. Discussion Papers.
- Blomberg, S. Brock & Hess, Gregory D. & Orphanides, Athanasios, 2004.
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- Nitsch, Volker & Schumacher, Dieter, 2004. "Terrorism and international trade: an empirical investigation," European Journal of Political Economy, Elsevier, vol. 20(2), pages 423-433, June.
- Oana M. Nedelescu & R. B. Johnston, 2005. "The Impact of Terrorismon Financial Markets," IMF Working Papers 05/60, International Monetary Fund.
- Eldor, Rafi & Melnick, Rafi, 2004. "Financial markets and terrorism," European Journal of Political Economy, Elsevier, vol. 20(2), pages 367-386, June.
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