Terror Attacks and Stock-Market Fluctuations: Evidence Based on a Nonparametric Causality-in-Quantiles Test for the G7 Countries

Mehmet Balcilar, Rangan Gupta, Christian Pierdzioch and Mark Wohar ()

No 201608, Working Papers from University of Pretoria, Department of Economics

Abstract: We use a novel non-parametric causality-in-quantiles test to study the effects of terror attacks on stock-market returns and volatility in G7 countries. We also use the novel test to study the international repercussions of terror attacks. Test results show that terror attacks often have significant effects on returns, whereas the effect on volatility is significant only in few cases. The effects on returns in many cases become stronger in terms of significance for the upper and lower quantiles of the conditional distribution of stock-market returns. As for international repercussions, we find that terror attacks mainly affect the tails of the conditional distribution of stock-market returns. We find no evidence of a significant cross-border effects of terror attacks on stock-market volatility.

Keywords: Stock markets, returns, volatility, nonparametric causality-in-quantiles test, terror attacks; G7 countries (search for similar items in EconPapers)
JEL-codes: C22 C53 G10 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2016-02
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (17)

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Journal Article: Terror attacks and stock-market fluctuations: evidence based on a nonparametric causality-in-quantiles test for the G7 countries (2018)
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