| ID | 177827 |
| Title Proper | Empirical Analysis of Terrorism and Stock Market Spillovers |
| Other Title Information | the Case of Spain |
| Language | ENG |
| Author | Laborda, Ricardo ; Olmo, Jose |
| Summary / Abstract (Note) | This article assesses the spillover effects between terrorist activity and Spanish stock market returns for the period 1993–2017 . We construct a daily terror index that reflects the terrorist activity of different types of perpetrators: domestic terrorism (ETA) and international terrorism linked to Islamic extremism. Our static analysis shows that connectedness is important, as it explains about half of the forecast error variance; most of it is attributed to shocks from terrorist events on stock market return forecasts. Our dynamic analysis also uncovers an increase in spillover effects between the early period characterised by ETA terrorist attacks and the recent past characterised by Islamic terrorist attacks. |
| `In' analytical Note | Defence and Peace Economics Vol. 32, No.1; Jan 2021: p. 68-86 |
| Journal Source | Defence and Peace Economics Vol: 32 No 1 |
| Key Words | Terrorism ; Variance Decomposition ; Spillovers ; Connectedness ; Type of Perpetrator ; Spanish Stock Market Returns |