Fear from uncertainty: An event study of Khashoggi and stock market returns

Ahmad Bash and Khaled Alsaifi

Journal of Behavioral and Experimental Finance, 2019, vol. 23, issue C, 54-58

Abstract: This study investigates whether uncertain events affect stock market outcomes. To perform a natural experiment, we measure the effect of the uncertain event of Jamal Khashoggi’s disappearance on the Saudi Stock Exchange. We use traditional event-study methodologies to analyse the data. The findings indicate that this event supports a downward trend in cumulative abnormal returns across all companies, implying a negative effect of uncertainty on stock returns.

Keywords: Stock returns; Event-study methodology; Jamal Khashoggi; Financial risk (search for similar items in EconPapers)
JEL-codes: C22 G10 G14 G15 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (31)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:23:y:2019:i:c:p:54-58

DOI: 10.1016/j.jbef.2019.05.004

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