Makale detayı · 2016
Terror attacks and stock-market fluctuations: evidence based on a nonparametric causality-in-quantiles test for the G7 countries
Dergi
European Journal of Finance- Yıl
- 2016
- Tür
- article
Veri kaynağı ayrımı
- YÖKSİS dergi adı European Journal of Finance
- OpenAlex OpenAlex zenginleştirmesi (özet, atıf, konular)
Özet
OpenAlex · İngilizce
We use a novel nonparametric 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 for Japan and the UK for several quantiles above the median. 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, where again Japan and the UK are exceptions as far as terror attacks on the US are concerned. Finally, our results continue to hold following various robustness checks involving model structure, lag-lengths and possible omitted variable bias.
Konular
Atıflar
OpenAlex cited_by_count. WoS veya Scopus atıf sayısı değildir; o kaynaklar için ayrı kolon yoktur.
92 atıf
OpenAlex cited_by_count (önbellek / veritabanı)
Yerel katalogda bu makaleye atıf yapan 14 yayın (OpenAlex referans eşleşmesi; tam dünya listesi değildir).
- Can volume predict Bitcoin returns and volatility? A quantiles-based approach 2017
- The role of economic and financial uncertainties in predicting commodity futures returns and volatility: Evidence from a nonparametric causality-in-quantiles test 2018
- Do terror attacks affect the dollar-pound exchange rate? A nonparametric causality-in-quantiles analysis 2017
- Firm-level political risk and asymmetric volatility 2018
- Geopolitical risks and the energy-stock market nexus: Evidence from Turkiye 2024
- The volatility spillover effects among risk appetite indexes: insight from the VIX and the rise 2020
- Do the carry trades respond to geopolitical risks? Evidence from BRICS countries 2023
- Jeopolitik Risk ve Borsa Endeksinin Nedensellik Analizi: Gelişmekte Olan Ülkeler Üzerine Bootstrap Panel Nedensellik Testi 2020
- Jeopolitik Risklerin Parametrik Olmayan Bir Yöntem Kullanarak Borsa Getirileri ve Döviz Kurları Üzerindeki Etkilerinin Bir Analizi 2021
- Do the Political Uncertainty and Geopolitical Risk Indexes in the G-7 Countries Relate to Stock Prices? Fourier Causality Test Evidence 2024