Please use this identifier to cite or link to this item:
Title: The impact of terrorist attacks on equity markets
Authors: Chamoun, Tracy
Chaghoury, Marina El
Advisors: Assaf, Ata 
Subjects: Terrorism--Economic aspects
Issue Date: 2017
This project puts under the microscope the impact of terrorist attacks on equity the markets. In order to visualize clearly the effect of terrorism, the schemes of this work discuss two main approaches: the event study methodology and the GARCH model. The data sample is an extract of daily data prices for two years extending from the beginning of 2015 till the end of 2016 and related to major stocks of 4 countries, namely: Germany, France, Belgium, and Turkey. The event study methodology shows that there is no impact of terrorist attacks on the stock return. However, in the GARCH model, a significant impact of terrorist attacks in Turkey is observed on the returns and the volatility while the attacks are impacting only the volatility in Germany, France and Belgium. The findings are highlighting the difference in the market structure between the chosen countries. Our results should have some important implications for efficient market hypothesis, equity markets predictability and portfolio management.
Includes bibliographical references (p. 31-33).

Supervised by Dr. Ata Assaf.
Rights: This object is protected by copyright, and is made available here for research and educational purposes. Permission to reuse, publish, or reproduce the object beyond the personal and educational use exceptions must be obtained from the copyright holder
Ezproxy URL: Link to full text
Type: Project
Appears in Collections:UOB Theses and Projects

Show full item record

Google ScholarTM


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.