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The price of terror: The effects of terrorism on stock market returns and volatility
K Peren Arin Davide Ciferri and
, 2008, vol. 101, issue 3, pages 164-167
Economics Letters 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)
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Persistent link: http://EconPapers.repec.org/RePEc:eee:ecolet:v:101:y:2008:i:3:p:164-167
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