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- W2075723218 abstract "This study investigates the interplay between terrorism and finance, focusing on the stock return volatility of American firms targeted by terrorist attacks. We find terrorism risk is an important factor in explaining the volatility of stock returns, which should be taken into account when modelling volatility. Using a volatility event-study approach and a new bootstrapping technique, we find volatility increases on the day of the attack and remain significant for at least fifteen days following the day of the attack. Cross-sectional analysis of the abnormal volatility indicates that the impact of terrorist attacks differs according to the country characteristics in which the incident occurred. We find that firms operating in wealthier, or more democratic countries, face greater volatility in stock returns relative to firms operating in developing countries. Firm exposure varies with the nature of country location, with country wealth and level of democracy playing an important role in explaining the likelihood of a terrorist attack. Our results show that despite significant terrorist events this past decade, stock markets in developed countries have not taken terrorist risk into sufficient consideration." @default.
- W2075723218 created "2016-06-24" @default.
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- W2075723218 date "2014-05-01" @default.
- W2075723218 modified "2023-09-29" @default.
- W2075723218 title "Terrorism, country attributes, and the volatility of stock returns" @default.
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- W2075723218 doi "https://doi.org/10.1016/j.ribaf.2013.11.001" @default.
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