Terror attacks and stock-market fluctuations : evidence based on a nonparametric causality-in-quantiles test for the G7 countries

dc.contributor.authorBalcilar, Mehmet
dc.contributor.authorGupta, Rangan
dc.contributor.authorPierdzioch, Christian
dc.contributor.authorWohar, Mark E.
dc.contributor.emailrangan.gupta@up.ac.zaen_ZA
dc.date.accessioned2019-04-15T05:52:33Z
dc.date.available2019-04-15T05:52:33Z
dc.date.issued2018
dc.description.abstractWe 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.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.librarianhj2019en_ZA
dc.description.urihttp://www.tandfonline.com/loi/rejf20en_ZA
dc.identifier.citationMehmet Balcilar, Rangan Gupta, Christian Pierdzioch & Mark E. Wohar (2018) Terror attacks and stock-market fluctuations: evidence based on a nonparametric causality-in-quantiles test for the G7 countries, The European Journal of Finance, 24:4, 333-346, DOI: 10.1080/1351847X.2016.1239586.en_ZA
dc.identifier.issn1351-847X (print)
dc.identifier.issn1466-4364 (online)
dc.identifier.other10.1080/1351847X.2016.1239586
dc.identifier.urihttp://hdl.handle.net/2263/68973
dc.language.isoenen_ZA
dc.publisherRoutledgeen_ZA
dc.rights© 2016 Informa UK Limited, trading as Taylor & Francis Group. This is an electronic version of an article published in European Journal of Finance, vol. 24, no. 4, pp. 333-346, 2018. doi : 10.1080/1351847X.2016.1239586. European Journal of Finance is available online at : http://www.tandfonline.com/loi/rejf20.en_ZA
dc.subjectStock marketsen_ZA
dc.subjectReturnsen_ZA
dc.subjectVolatilityen_ZA
dc.subjectNonparametric causality-in-quantiles testen_ZA
dc.subjectTerror attacksen_ZA
dc.subjectG7 countriesen_ZA
dc.titleTerror attacks and stock-market fluctuations : evidence based on a nonparametric causality-in-quantiles test for the G7 countriesen_ZA
dc.typePostprint Articleen_ZA

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