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How Terrorist Attacks Affect the Volatility of the Pakistani Stock Market?

강형구|엄찬영|Faheem Aslam
인도연구소 (Institute of Indian Studies)|2014.02|남아시아연구 (Journal of South Asian Studies)|제19권 제3호|pp. 151-182|DOI 10.21587/jsas.2014.19.3.007

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참고문헌

키워드

비대칭성EGARCHStock Market VolatilityAsymmetryTerrorist’s EventLeverage EffectKarachi Stock Exchange(KSE)테러 사건레버리지 효과주식 시장 변동성Karachi Stock Exchange (KSE)
주제분류지역학

초록

This paper measures the impact of terrorist events on Pakistani stock market volatility. By using the EGARCH model, we concludes that terrorist events are significantly associated to the volatility of Karachi stock market. The impact of events varies with location, attack type and target type. Most interestingly, terrorist events have significant impact on volatility one day before the event and day of the event. The market absorb the effect of such shocks and recovers in one day. Moreover, significant negative volatility asymmetry confirms the leverage effect in the market.

Abstract

This paper measures the impact of terrorist events on Pakistani stock market volatility. By using the EGARCH model, we concludes that terrorist events are significantly associated to the volatility of Karachi stock market. The impact of events varies with location, attack type and target type. Most interestingly, terrorist events have significant impact on volatility one day before the event and day of the event. The market absorb the effect of such shocks and recovers in one day. Moreover, significant negative volatility asymmetry confirms the leverage effect in the market.

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