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

K Peren Arin (), Davide Ciferri and Nicola Spagnolo

Economics Letters, 2008, vol. 101, issue 3, pages 164-167

Abstract: 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.

Keywords: Multivariate; GARCH; Stock; prices; Volatility (search for similar items in EconPapers)
Date: 2008
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