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Impact of terrorist attacks on stock market volatility in emerging markets

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  • Mnasri, Ayman
  • Nechi, Salem

Abstract

We use an event study methodology alongside an improved bootstrapping test to evaluate the impact of terrorist attacks on the volatility of stock markets in 12 MENA countries, and test for regional financial integration. Results show that the impact of terrorist attacks on financial markets' volatility lasts about 20 trading days, which is considered to be long compared to the term effect of similar events in developed markets. Moreover, we find evidence of regional financial integration. Our robustness check shows that the bootstrapping approach is more robust, and that theoretical p-values might be misleading if underlying assumptions are violated.

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  • Mnasri, Ayman & Nechi, Salem, 2016. "Impact of terrorist attacks on stock market volatility in emerging markets," Emerging Markets Review, Elsevier, vol. 28(C), pages 184-202.
  • Handle: RePEc:eee:ememar:v:28:y:2016:i:c:p:184-202
    DOI: 10.1016/j.ememar.2016.08.002
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    1. repec:eee:riibaf:v:45:y:2018:i:c:p:446-453 is not listed on IDEAS
    2. repec:eee:finana:v:57:y:2018:i:c:p:1-12 is not listed on IDEAS

    More about this item

    Keywords

    Stock market volatility; Emerging markets; Event study; Bootstrapping;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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