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STOCK MARKETS (3) answer(s).
 
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ID:   192052


21st Century Evidence on the Effect of Terror Attacks on Eurozone Stock Markets / Markoulis, Stelios N   Journal Article
Markoulis, Stelios N Journal Article
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Summary/Abstract This paper uses the event study methodology to examine whether ‘significant’ terror attacks that occurred in the Eurozone in the 21st century affect stock markets. We find that such events do have a negative effect both on the market of the country suffering the attack, and on the general Eurozone market index. Depending on the method and the market index used, this effect ranges between −0.3% and −0.62% and is concentrated entirely on the day of the attack. We moreover find that this effect is more pronounced and of significance during the first decade of the 21st century. Regression analysis revealed that the most important factor affecting the magnitude of the effect is economic damage resulting from the attack.
Key Words Terrorism  ;  Eurozone  ;  Market Reaction  ;  Stock Markets  ;  Event-Study 
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2
ID:   137930


Effect of military expenditure on stock market development: panel evidence from system GMM estimates / Solarin, Sakiru Adebola; Sahu, Pritish Kumar   Article
Solarin, Sakiru Adebola Article
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Summary/Abstract This paper examines the impact of military expenditure on stock market development in 36 countries over the period 1989–2010. Within a panel framework, the system GMM estimates is utilised to test the relationship with an array of control variables. We augment the traditional measure of military expenditure–military burden, with a newly constructed comprehensive index – Global Militarisation Index. Overall, the results show that military spending has a negative and significant effect on stock market performance in the selected countries.
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3
ID:   178629


Oil-stock Nexus in an Oil-rich Country: Does Geopolitical Risk Matter in Terms of Investment Horizons? / Aloui, Chaker; Hamida, Hela Ben   Journal Article
Aloui, Chaker Journal Article
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Summary/Abstract In this paper, we attempt to delineate the relevance of geopolitical risk in the oil-stock nexus in a time-frequency domain. We resort to various wavelet coherence methods to capture the influence of geopolitical risk on the dynamic association between oil and stock prices in Saudi Arabia as a rich oil-exporting country in a region with high geopolitical risk. We primarily show that the role of geopolitical risk in the oil-stock interplay varies through timescales and investment horizons. News regarding geopolitical tensions affects the stock market in high frequency bands, while oil impacts are manifested more on longer time-horizons. Geopolitical risk weakens oil-stock connectedness in the short term. Interestingly, geopolitical incidents significantly lower the oil-stock magnitude and volatility correlation. These results offer prominent insights for investors and policy makers, which may be beneficial when responding to future geopolitical tensions in terms of risk management and the identification of investment opportunities.
Key Words Oil  ;  structural Breaks  ;  Wavelets  ;  Stock Markets  ;  Geopolitical Risk  ;  DCC GARCH Model 
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