Stock Market Response to Terrorist Attacks: An Event Study Approach

• 발행기관: 한국유통과학회
• 저자명: Safdar Husain TAHIR Furqan TAHIR Nausheen SYED Gulzar AHMAD Muhammad Rizwan ULLAH
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 7 No.9, 31~37쪽, 전체 7쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2020.09.30

영문 초록

The purpose of this research study is to examine the stock market’s response to terrorist attacks. The study uses data of terrorist attacks in different parts of the country (Pakistan) from June 1, 2014 to May 31, 2017. The event window procedure applies to a 16-day window in which 5 days before and 10 days after the attack. In addition, several event windows have been built to test the response of the Pakistan Stock Exchange. KSE-100 index is taken as proxy of response. The total terrorist attacks are classified into four categories: attacks on law enforcement agencies, attacks on civilians, attacks on special places and attacks on politicians, government employees and bureaucrats. The standard market model is used to estimate the abnormal return of the Pakistan Stock Exchange, which takes 252 business days each year. Furthermore, BMP test is used to check statistical significance of cumulative abnormal rate of return (CAAR). The results of this study reveal that total number of terrorist attacks and attacks on law enforcement agencies show long-term effects on Pakistan stock exchange. However, attacks on civilians, attacks on special places and attacks on politicians, government employees and bureaucrats have little effect on the Pakistan Stock Exchange.

목차

1. Introduction

2. Literature Review

3. Research Methodology

4. Results and Discussions

5. Discussions and Conclusions

References

키워드

Stock Market Terrorist Attacks Event Study Abnormal Return BMP Test