The Impact of International Terrorist Attacks on the Risk and Return of Malaysian Equity Portfolios

Vikash Ramiah ()
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Vikash Ramiah: School of Economics, Finance and Marketing, RMIT University, 445 Swanston Street, Melbourne, Victoria, 3000, Australia

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2012, vol. 15, issue 04, 1-26

Abstract: How are the risks and returns of industrial and market portfolios altered as a result of terrorist events? This paper investigates the effects of five international terrorist attacks on equities listed on the Malaysian Stock Exchange. It uses an event study methodology to explore the relationship between equity stock returns, terrorist attacks and asset pricing models to assess whether systematic risks change after these events. The evidence demonstrates that strategies such as closing down an exchange during a crisis are ineffective. Furthermore, after the September 11, 2001 attacks, Malaysian equity markets were insensitive to subsequent terrorist attacks in other countries.

Keywords: Terrorism; equity market; abnormal returns; Malaysia (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (6)

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DOI: 10.1142/S0219091512500208

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