The price of terror: The effects of terrorism on stock market returns and volatility

被引：163

作者：

Arin, K. Peren ^{[1
,2
]}

Ciferri, Davide ^{[3
]}

Spagnolo, Nicola ^{[1
,4
]}

机构：

[1] CAMA, Canberra, ACT, Australia

[2] Massey Univ, Dept Commerce, Palmerston North, New Zealand

[3] Univ Rome, Tor Vergata, Italy

[4] Brunel Univ, Ctr Empir Finance, Uxbridge UB8 3PH, Middx, England

来源：

ECONOMICS LETTERS | 2008年 / 101卷 / 03期

关键词：

Multivariate GARCH; Stock prices; Volatility;

D O I：

10.1016/j.econlet.2008.07.007

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：164 / 167

页数：4

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