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

References

Abadie, A., and J. Gardeazabal. 2003. “The Economic Costs of Conflict: A Case Study of the Basque Country.” The American Economic Review 93 (1): 113–32. https://doi.org/10.1257/000282803321455188.Search in Google Scholar

Ahmed, S., and O. Farooq. 2008. “The Effect of 9/11 on the Stock Market Volatility Dynamics: Empirical Evidence from a Front Line State.” International Research Journal of Finance and Economics 16: 71–83.10.2139/ssrn.1140771Search in Google Scholar

Aksoy, M., and S. Demiralay. 2019. “The Effects of Terrorism on Turkish Financial Markets.” Defence and Peace Economics 30 (6): 733–55.10.1080/10242694.2017.1408737Search in Google Scholar

Arin, K. P., D. Ciferri, and N. Spagnolo. 2008. “The Price of Terror: The Effects of Terrorism on Stock Market Returns and Volatility.” Economics Letters 101 (3): 164–7. https://doi.org/10.1016/j.econlet.2008.07.007.Search in Google Scholar

Aslam, F., and H.-G. Kang. 2015. “How Different Terrorist Attacks Affect Stock Markets.” Defence and Peace Economics 26 (6): 634–48. https://doi.org/10.1080/10242694.2013.832555.Search in Google Scholar

Aslam, F., C.-Y. Eom, and H.-G. Kang. 2014. “How Terrorist Attacks Affect the Volatility of the Pakistani Stock Market?” 남아시아연구 19 (3): 151–81.10.21587/jsas.2014.19.3.007Search in Google Scholar

Aslam, F., A. Rafique, A. Salman, H.-G. Kang, and W. Mohti. 2018. “The Impact of Terrorism on Financial Markets: Evidence from Asia.” The Singapore Economic Review 63 (05): 1183–204. https://doi.org/10.1142/s0217590815501118.Search in Google Scholar

Asteriou, D., and C. Siriopoulos. 2000. “The Role of Political Instability in Stock Market Development and Economic Growth: The Case of Greece.” Economic Notes 29 (3): 355–74. https://doi.org/10.1111/1468-0300.00037.Search in Google Scholar

Athanassiou, E., C. Kollias, and T. Syriopoulos. 2006. “Dynamic Volatility and External Security Related Shocks: The Case of the Athens Stock Exchange.” Journal of International Financial Markets, Institutions and Money 16 (5): 411–24. https://doi.org/10.1016/j.intfin.2005.04.001.Search in Google Scholar

Barros, C. P., G. M. Caporale, and L. A. Gil‐Alana. 2009. “Basque Terrorism: Police Action, Political Measures and the Influence of Violence on the Stock Market in the Basque Country.” Defence and Peace Economics 20 (4): 287–301. https://doi.org/10.1080/10242690701750676.Search in Google Scholar

Bautista, C. C. 2003. “Stock Market Volatility in the Philippines.” Applied Economics Letters 10 (5): 315–8. https://doi.org/10.1080/13504850210148107.Search in Google Scholar

Becker, G., and K. Murphy. 2001. “Prosperity will Rise out of the Ashes.” Wall Street Journal 29: A22.Search in Google Scholar

Berrebi, C., and E. F. Klor. 2010. “The Impact of Terrorism on the Defence Industry.” Economica 77 (307): 518–43. https://doi.org/10.1111/j.1468-0335.2008.00766.x.Search in Google Scholar

Bevilacqua, M., D. Morelli, and P. S. R. Uzan. 2020. “Asymmetric Implied Market Volatility and Terrorist Attacks.” International Review of Financial Analysis 67: 101417. https://doi.org/10.1016/j.irfa.2019.101417.Search in Google Scholar

Brounen, D., and J. Derwall. 2010. “The Impact of Terrorist Attacks on International Stock Markets.” European Financial Management 16 (4): 585–98. https://doi.org/10.1111/j.1468-036x.2009.00502.x.Search in Google Scholar

Butt, S., O. Masood, and K. Javaria. 2020. “Terrorism Activities Influence on Financial Stock Markets: An Empirical Evidence from United Kingdom, India, France, Pakistan, Spain and United States.” Global Journal of Social Sciences Studies 6 (1): 1–12. https://doi.org/10.20448/807.6.1.1.12.Search in Google Scholar

Carter, D. A., and B. J. Simkins. 2004. “The Market’s Reaction to Unexpected, Catastrophic Events: The Case of Airline Stock Returns and the September 11th Attacks.” The Quarterly Review of Economics and Finance 44 (4): 539–58.10.1016/j.qref.2003.10.001Search in Google Scholar

Charles, A., and O. Darné. 2006. “Large Shocks and the September 11th Terrorist Attacks on International Stock Markets.” Economic Modelling 23 (4): 683–98.10.1016/j.econmod.2006.03.008Search in Google Scholar

Chen, A. H., and T. F. Siems. 2004. “The Effects of Terrorism on Global Capital Markets.” European Journal of Political Economy 20 (2): 349–66. https://doi.org/10.1016/j.ejpoleco.2003.12.005.Search in Google Scholar

Chesney, M., G. Reshetar, and M. Karaman. 2011. “The Impact of Terrorism on Financial Markets: An Empirical Study.” Journal of Banking & Finance 35 (2): 253–67. https://doi.org/10.1016/j.jbankfin.2010.07.026.Search in Google Scholar

Chong, C. Y. 2011. “Effect of Subprime Crisis on US Stock Market Return and Volatility.” Global Economy and Finance Journal 4 (1): 102–11.Search in Google Scholar

Christofis, N., C. Kollias, S. Papadamou, and A. Stagiannis. 2013. “Istanbul Stock Market’s Reaction to Terrorist Attacks.” Doğuş Üniversitesi Dergisi 14 (2): 153–64. https://doi.org/10.31671/dogus.2018.103.Search in Google Scholar

Coleman, L. 2012. “Testing Equity Market Efficiency Around Terrorist Attacks.” Applied Economics 44 (31): 4087–99. https://doi.org/10.1080/00036846.2011.587778.Search in Google Scholar

Das, D., M. Kannadhasan, and M. Bhattacharyya. 2019. “Do the Emerging Stock Markets React to International Economic Policy Uncertainty, Geopolitical Risk and Financial Stress Alike? The North American Journal of Economics and Finance 48: 1–19.10.1016/j.najef.2019.01.008Search in Google Scholar

Drakos, K. 2010. “Terrorism Activity, Investor Sentiment, and Stock Returns.” Review of Financial Economics 19 (3): 128–35. https://doi.org/10.1016/j.rfe.2010.01.001.Search in Google Scholar

Eldor, R., and R. Melnick. 2004. “Financial Markets and Terrorism.” European Journal of Political Economy 20 (2): 367–86. https://doi.org/10.1016/j.ejpoleco.2004.03.002.Search in Google Scholar

Engle, R. F. 1982. “Autoregressive Conditional Heteroskedasticity with Estimates of Variance of United Kingdom Inflation.” Econometrica 50 (4): 987–1007.10.2307/1912773Search in Google Scholar

Essaddam, N., and J. M. Karagianis. 2014. “Terrorism, Country Attributes, and the Volatility of Stock Returns.” Research in International Business and Finance 31: 87–100. https://doi.org/10.1016/j.ribaf.2013.11.001.Search in Google Scholar

Essaddam, N., and A. Mnasri. 2015. “Event-study Volatility and Bootstrapping: An International Study.” Applied Economics Letters 22 (3): 209–13. https://doi.org/10.1080/13504851.2014.934423.Search in Google Scholar

French, K. R. 1980. “Stock Returns and the Weekend Effect.” Journal of Financial Economics 8 (1): 55–69.10.1016/0304-405X(80)90021-5Search in Google Scholar

Frey, B. S. 2009. “How Can Business Cope with Terrorism?” Journal of Policy Modeling 31 (5): 779–87. https://doi.org/10.1016/j.jpolmod.2008.09.007.Search in Google Scholar

Goel, S., S. Cagle, and H. Shawky. 2017. “How Vulnerable are International Financial Markets to Terrorism? An Empirical Study Based on Terrorist Incidents Worldwide.” Journal of Financial Stability 33: 120–32. https://doi.org/10.1016/j.jfs.2017.11.001.Search in Google Scholar

Griffin, D., and A. Tversky. 1992. “The Weighing of Evidence and the Determinants of Confidence.” Cognitive Psychology 24 (3): 411–35. https://doi.org/10.1016/0010-0285(92)90013-r.Search in Google Scholar

Guidolin, M., and E. La Ferrara. 2010. “The Economic Effects of Violent Conflict: Evidence from Asset Market Reactions.” Journal of Peace Research 47 (6): 671–84. https://doi.org/10.1177/0022343310381853.Search in Google Scholar

Gul, T. G., A. H. Hussain, S. B. Bangash, and S. W. K. Khattak. 2010. Impact of Terrorism on Financial Markets of Pakistan (2006–2008). Islamabad, Pakistan: Pakistan Instittute of Development Economics.Search in Google Scholar

Hadi, D. M., S. Katircioglu, and C. Adaoglu. 2020. “The Vulnerability of Tourism Firms’ Stocks to the Terrorist Incidents.” Current Issues in Tourism 23 (9): 1138–52.10.1080/13683500.2019.1592124Search in Google Scholar

Hobbs, J., L. C. Schaupp, and J. Gingrich. 2015. “Terrorism, Militarism, and Stock Returns.” Journal of Financial Crime 23: 70–86. https://doi.org/10.1108/JFC-01-2015-0002.Search in Google Scholar

Hussain, F., K. Hamid, R. S. Imdad Akash, and M. Imdad Khan. 2011. “Day of the Week Effect and Stock Returns: (Evidence from Karachi Stock Exchange-Pakistan).” Far East Journal of Psychology and Business 3 (1): 25–31.Search in Google Scholar

Imran, R., A. Rafique, and F. Aslam. 2020. “Herding Behavior in Emerging Market: Evidence from Pakistan Stock Exchange.” International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies 11 (9): 1–10.Search in Google Scholar

Irshad, H., H. Hussain, S. Akhtar, and I. Saba. 2019. “Terrorism and Stock Markets: Cross-Country Evidence.” Pakistan Journal of Social Sciences (PJSS) 39 (4): 1295–306.Search in Google Scholar

Jain, S. C., and R. Grosse. 2009. “Impact of Terrorism and Security Measures on Global Business Transactions: Some International Business Guidelines.” Journal of Transnational Management 14 (1): 42–73. https://doi.org/10.1080/15475770802698540.Search in Google Scholar

Johnston, R. B., and O. M. Nedelescu. 2006. “The Impact of Terrorism on Financial Markets. Journal of Financial Crime 13 (1): 7–25.10.2139/ssrn.874282Search in Google Scholar

Karolyi, A. 2006. The Consequences of Terrorism for Financial Markets: What Do We Know? Fisher College of Business. Columbus: Ohio State University. https://doi.org/10.2139/ssrn.904398.Search in Google Scholar

Karolyi, G. A., and R. Martell. 2010. “Terrorism and the Stock Market.” International Review of Applied Financial Issues & Economics 2 (2): 285–314.10.2139/ssrn.823465Search in Google Scholar

Khan, D., A. Ullah, W. Alim, and I. U. Haq. 2020. “Does Terrorism Affect the Stock Market Returns and Volatility? Evidence from Pakistan’s Stock Exchange.” Journal of Public Affairs e2304, https://doi.org/10.1002/pa.2304.Search in Google Scholar

Kollias, C., S. Papadamou, and A. Stagiannis. 2011. “Terrorism and Capital Markets: The Effects of the Madrid and London Bomb Attacks.” International Review of Economics & Finance 20 (4): 532–41. https://doi.org/10.1016/j.iref.2010.09.004.Search in Google Scholar

LaFree, G., and L. Dugan. 2007. “Introducing the Global Terrorism Database.” Terrorism and Political Violence 19 (2): 181–204.10.1080/09546550701246817Search in Google Scholar

Larobina, M. D., and R. L. Pate. 2009. “The Impact of Terrorism Oil Business.” Journal of Global Business Issues 3 (1): 147–55.Search in Google Scholar

Ljung, G. M., and G. E. Box. 1978. “On a Measure of Lack of Fit in Time Series Models.” Biometrika 65 (2): 297–303. https://doi.org/10.1093/biomet/65.2.297.Search in Google Scholar

Maillet, B. B., and T. L. Michel. 2005. “The Impact of the 9/11 Events on the American and French Stock Markets.” Review of International Economics 13 (3): 597–611. https://doi.org/10.1111/j.1467-9396.2005.00525.x.Search in Google Scholar

Malik, Z. U. A., H. Zhilong, and D. Ashraf. 2019. “Terrorism: The Biggest Security Challenge to the Integrity of Pakistan.” Orient Research Journal of Social Sciences 4 (1): 96–106.Search in Google Scholar

Markoulis, S., and S. Katsikides. 2020. “The Effect of Terrorism on Stock Markets: Evidence From the 21st Century.” Terrorism and Political Violence 32 (5): 988–1010.10.1080/09546553.2018.1425207Search in Google Scholar

Masood, O., K. Javaria, and Y. Petrenko. 2020. Terrorism activities Influence on Financial Stock Markets: An Empirical Evidence from United Kingdom, India, France, Pakistan, Spain and America. Insights into Regional Development 2 (1): 443–55. https://doi.org/10.9770/IRD.2020.2.1(4).Search in Google Scholar

MengYun, W., M. Imran, M. Zakaria, Z. Linrong, M. U. Farooq, and S. K. Muhammad. 2018. “Impact of Terrorism and Political Instability on Equity Premium: Evidence from Pakistan.” Physica A: Statistical Mechanics and its Applications 492: 1753–62.10.1016/j.physa.2017.11.095Search in Google Scholar

Mun, K.-C. 2005. “Contagion and Impulse Response of International Stock Markets Around the 9–11 Terrorist Attacks.” Global Finance Journal 16 (1): 48–68. https://doi.org/10.1016/j.gfj.2005.05.002.Search in Google Scholar

Nelson, D. B. 1991. “Conditional Heteroskedasticity in Asset Returns: A New Approach.” Econometrica: Journal of the Econometric Society 59 (2): 347–70.10.2307/2938260Search in Google Scholar

Nguyen, A. P., and C. E. Enomoto. 2009. “Acts of Terrorism and Their Impacts on Stock Index Returns and Volatility: The Cases of the Karachi and Tehran Stock Exchanges.” International Business & Economics Research Journal (IBER) 8 (12): 75–86, https://doi.org/10.19030/iber.v8i12.3199.Search in Google Scholar

Nikkinen, J., M. M. Omran, P. Sahlström, and J. Äijö. 2008. “Stock Returns and Volatility Following the September 11 Attacks: Evidence from 53 Equity Markets.” International Review of Financial Analysis 17 (1): 27–46. https://doi.org/10.1016/j.irfa.2006.12.002.Search in Google Scholar

Papakyriakou, P., A. Sakkas, and Z. Taoushianis. 2019. “The Impact of Terrorist Attacks in G7 Countries on International Stock Markets and the Role of Investor Sentiment.” Journal of International Financial Markets, Institutions and Money 61: 143–60. https://doi.org/10.1016/j.intfin.2019.03.001.Search in Google Scholar

Peleg, K., J. L. Regens, J. T. Gunter, and D. H. Jaffe. 2011. “The Normalisation of Terror: The Response of Israel’s Stock Market to Long Periods of Terrorism.” Disasters 35 (1): 268–83. https://doi.org/10.1111/j.1467-7717.2010.01203.x.Search in Google Scholar

Rasheed, A., M. K. Sohail, and B. Nafees. 2019. Measuring Market Efficiency Through Calendar Effect Anomaly in Different States of Economy Periods. Pakistan Business Review 21: 186–99.Search in Google Scholar

Rigobon, R., and B. Sack. 2005. “The Effects of War Risk on US Financial Markets.” Journal of Banking & Finance 29 (7): 1769–89. https://doi.org/10.1016/j.jbankfin.2004.06.040.Search in Google Scholar

Rosenfeld, J. E. 2010. Terrorism, Identity, and Legitimacy: The Four Waves Theory and Political Violence. Oxford, New York: Routledge.10.4324/9780203834329Search in Google Scholar

Shaikh, I. 2019. “Behaviors of Stocks and Fear Index from Terrorist Attacks: Empirical Evidence from SENSEX and NVIX.” International Journal of Business & Economics 18 (2): 195–219.Search in Google Scholar

Suleman, M. T. 2012. “Stock Market Reaction to Good and Bad Political News.” Asian Journal of Finance & Accounting 4 (1): 299–312. https://doi.org/10.5296/ajfa.v4i1.1705.Search in Google Scholar

Taleb, N. N. 2007. The Black Swan: The Impact of the Highly Improbable, 2. New York, USA: Random House.Search in Google Scholar

Veronesi, P. 1999. “Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model.” The Review of Financial Studies 12 (5): 975–1007. https://doi.org/10.1093/rfs/12.5.975.Search in Google Scholar

Wisniewski, T. P. 2016. “Is there a Link between Politics and Stock Returns? A Literature Survey.” International Review of Financial Analysis 47: 15–23. https://doi.org/10.1016/j.irfa.2016.06.015.Search in Google Scholar

Yehuda, R., and S. E. Hyman. 2005. “The Impact of Terrorism on Brain, and Behavior: What we Know and What we Need to Know.” Neuropsychopharmacology 30 (10): 1773–80.10.1038/sj.npp.1300817Search in Google Scholar

Zakaria, M., W. Jun, and H. Ahmed. 2019. “Effect of Terrorism on Economic Growth in Pakistan: An Empirical Analysis.” Economic Research-Ekonomska Istraživanja 32 (1): 1794–812. https://doi.org/10.1080/1331677x.2019.1638290.Search in Google Scholar

Zhou, M.-J., J.-B. Huang, and J.-Y. Chen. 2020. “The Effects of Geopolitical Risks on the Stock Dynamics of China’s Rare Metals: A TVP-VAR Analysis. Resources Policy 68: 101784.10.1016/j.resourpol.2020.101784Search in Google Scholar

Zussman, A., and N. Zussman. 2006. “Assassinations: Evaluating the Effectiveness of an Israeli Counterterrorism Policy Using Stock Market Data.” Journal of Economic Perspectives 20 (2): 193–206. https://doi.org/10.1257/jep.20.2.193.Search in Google Scholar