2011
DOI: 10.19030/iber.v8i12.3199
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Acts Of Terrorism And Their Impacts On Stock Index Returns And Volatility: The Cases Of The Karachi And Tehran Stock Exchanges

Abstract: Terrorist attacks throughout the world have disrupted the flow of financial capital between nations and affected incomes, company profits and stock prices. This paper uses a GARCH(1,1) model to determine how these attacks have affected two specific stock markets: one in Pakistan and the other in Iran. It was found that significant, but different, stock index return shifts and changes in volatility occurred in the two markets. These effects on stock returns have important implications for the economies involved… Show more

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Cited by 25 publications
(23 citation statements)
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“…Such a finding is consistent with the studies of Hameed and Ashraf (2006) and Nguyen and Enomoto (2009).…”
Section: The Volatility Shift After 9/11supporting
confidence: 93%
See 2 more Smart Citations
“…Such a finding is consistent with the studies of Hameed and Ashraf (2006) and Nguyen and Enomoto (2009).…”
Section: The Volatility Shift After 9/11supporting
confidence: 93%
“…The differences in volatility after 9/11 are clearly visible with majority of the firms documenting negative values for the change in standard deviation suggesting that share price changes pre 9/11 were far more erratic and volatile compared to their post 9/11 values. This observation is consistent with previous studies that have documented a significant shift in the volatility of share returns in Pakistan after the terrorist attacks of 9/11 (Hameed and Ashraf, 2006;Ahmed and Farooq, 2008;Nguyen and Enomoto, 2009;Suleman, 2012). 4 The present investigation examines the volatility of share returns across the 12 Islamic months both pre and post 9/11.…”
Section: An Overview Of the Karachi Stock Exchangesupporting
confidence: 91%
See 1 more Smart Citation
“…The author argues that terrorism creates more opportunities rather than a short-term disruption in the financial market. Nguyen & Enomoto (2009) study the impact of terrorism on the stock returns and volatility-behaviour. The study administered on the KSE and TSE of Pakistan and Iran.…”
Section: Terrorism and Financial Marketsmentioning
confidence: 99%
“…Nguyen and Enomoto (2009) estimated the impact of 7 international terrorist incidents on the financial markets of Pakistan and Iran. They discovered that terrorist attacks in Indonesia, Iraq, London and Madrid had significant inverse impacts on the reaction of stock returns.…”
Section: Literature Reviewmentioning
confidence: 99%