Citation

Kollias C, Papadamou S, Stagiannis A. International Review of Economics and Finance 2011; 20(4): 532-541.

Copyright

(Copyright © 2011)

DOI

10.1016/j.iref.2010.09.004

PMID

unavailable

Abstract

Using event study methodology and GARCH family models, the paper investigates the effects of two terrorist incidents - the bomb attacks of 11th March 2004 in Madrid and 7th July 2005 in London - on equity sectors. Significant negative abnormal returns are widespread across the majority of sectors in the Spanish markets but not so in the case of London. Furthermore, the market rebound is much quicker in London compared to the Spanish markets where the attackers were not suicide bombers. Nevertheless, the overall findings point to only a transitory impact on return and volatility that does not last for a long period. © 2010 Elsevier Inc.

Language: en

Keywords

Terrorism; Capital markets; Conditional volatility; Event study; GARCH