Pricing protest: the response of financial markets to social unrest

Philip Barrett, Mariia Bondar, Sophia Chen, Mali Chivakul and Deniz Igan

Review of Finance, 2024, vol. 28, issue 4, 1419-1450

Abstract: We identify start days of 156 episodes of social unrest from textual analysis of media reports and show a systematic negative impact of social unrest on stock market performance. Social unrest on average leads to a 1.4 percentage point drop in cumulative abnormal returns in 2 weeks, more for events that last longer and that happen in emerging markets. Stronger institutions, particularly better governance and more democratic systems, are associated with a smaller adverse impact of social unrest on stock market returns. We argue this reflects the ability of better institutions to provide a more reliable way to reconcile conflicting views and dampen uncertainty after unrest.

Keywords: social unrest; stock markets; abnormal returns; event study; institutions (search for similar items in EconPapers)
JEL-codes: E66 E70 G10 H10 (search for similar items in EconPapers)
Date: 2024
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Working Paper: Pricing Protest: The Response of Financial Markets to Social Unrest (2021)
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