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Volatility Transmission Patterns And Terrorist Attacks


  • Helena Chuliá Soler

    () (Universitat de València)

  • Pilar Soriano Felipe

    () (Universitat de València)

  • Francisco Climent

    (Universitat de València)

  • Hipòlit Torró

    (Universitat de València)


The objective of this study is to analyze volatility transmission between the US and Eurozone stock markets considering the effects of the September 11, March 11 and July 7 financial crises. In order to do this, we use a multivariate GARCH model and take into account the asymmetric volatility phenomenon, the non-synchronous trading problem and the crises themselves. Moreover, a graphical analysis of the Asymmetric Volatility Impulse-Response Functions (AVIRF) is introduced, which takes into consideration the crisis effect. Results suggest that there is bidirectional and asymmetric volatility transmission and show the different impact that terrorist attacks had on both markets. El objetivo de este estudio es analizar la transmisión de volatilidad entre los mercados de EEUU y la Eurozona, considerando el efecto de los ataques terroristas del 11 de septiembre, 11 de marzo y 7 de julio. Para ello, se utiliza un modelo GARCH multivariante, teniendo en cuenta el fenómeno de la volatilidad asimétrica y el problema de la negociación no simultánea. Asimismo, también se propone un análisis gráfico de la transmisión de volatilidad a través de funciones impulso-respuesta en volatilidad asimétricas (AVIRF) y que consideran la existencia o no de crisis financieras. Los resultados sugieren que la transmisión de volatilidad es asimétrica y bidireccional y muestran que los ataques terroristas tuvieron un impacto diferente en los mercados bursátiles considerados.

Suggested Citation

  • Helena Chuliá Soler & Pilar Soriano Felipe & Francisco Climent & Hipòlit Torró, 2007. "Volatility Transmission Patterns And Terrorist Attacks," Working Papers. Serie EC 2007-09, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  • Handle: RePEc:ivi:wpasec:2007-09

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    References listed on IDEAS

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    2. Alemany, Aida & Ballester, Laura & González-Urteaga, Ana, 2015. "Volatility spillovers in the European bank CDS market," Finance Research Letters, Elsevier, vol. 13(C), pages 137-147.
    3. Villalba Padilla, Fátima Irina & Flores-Ortega, Miguel, 2014. "Análisis de la volatilidad del índice principal del mercado bursátil mexicano, del índice de riesgo país y de la mezcla mexicana de exportación mediante un modelo GARCH trivariado asimétrico || Volati," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 17(1), pages 3-22, June.
    4. Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch & Mark Wohar, 2016. "Do Terror Attacks Affect the Dollar-Pound Exchange Rate? A Nonparametric Causality-in-Quantiles Analysis," Working Papers 201615, University of Pretoria, Department of Economics.
    5. Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch & Mark Wohar, 2016. "Terror Attacks and Stock-Market Fluctuations: Evidence Based on a Nonparametric Causality-in-Quantiles Test for the G7 Countries," Working Papers 201608, University of Pretoria, Department of Economics.
    6. Tamara MariniÄ evaitÄ— & Jovita RažauskaitÄ—, 2015. "The Relevance Of Cboe Volatility Index To Stock Markets In Emerging Economies," Organizations and Markets in Emerging Economies, Faculty of Economics, Vilnius University, vol. 6(1).
    7. Nicholas Apergis & Matteo Bonato & Rangan Gupta & Clement Kyei, 2016. "Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach," Working Papers 201671, University of Pretoria, Department of Economics.
    8. Gupta, Rangan & Majumdar, Anandamayee & Pierdzioch, Christian & Wohar, Mark E., 2017. "Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 276-284.

    More about this item


    Mercados financieros internacionales; Crisis financieras; GARCH multivariante; Transmisión de volatilidad. International financial markets; Stock market crisis; Multivariate GARCH; Volatility spillovers.;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F30 - International Economics - - International Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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