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Stock market returns and terrorist violence: evidence from the Basque Country
10 references·5 citing·42 second hop
Stock market returns and terrorist violence: evidence from the Basque Country (2008)Stock market returns and terrorist violen…The effects of terrorism on global capital markets (2004)The effects of terrorism on g…Terrorism-induced structural shifts in financial risk: airline stocks in the aftermath of the September 11th terror attacks (2004)Terrorism-induced structural …Financial markets and terrorism (2004)Financial markets and terrori…The Economic Costs of Conflict: A Case Study of the Basque Country (2003)The Economic Costs of Conflic…Regional Effects of Terrorism on Tourism in Three Mediterranean Countries (2003)Regional Effects of Terrorism…Terrorism and Foreign Direct Investment in Spain and Greece (1996)Terrorism and Foreign Direct …Efficient Tests of Nonstationary Hypotheses (1994)Efficient Tests of Nonstation…Efficient Tests of Nonstationary Hypotheses (1994)Efficient Tests of Nonstation…Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Maximum likelihood estimation…An Econometric Analysis of the Impact of Terrorism on Tourism (1992)An Econometric Analysis of th…The impact of foreign direct investment on trade in Pakistan: the moderating role of terrorism (2020)The impact of foreign direct …Oil price shocks, global economic policy uncertainty, geopolitical risk, and stock price in Malaysia: Factor augmented VAR approach (2019)Oil price shocks, global econ…The impact of 11/13 Paris terrorist attacks on stock prices: evidence from the international defence industry (2016)The impact of 11/13 Paris ter…Is there a link between politics and stock returns? A literature survey (2016)Is there a link between polit…How Different Terrorist Attacks Affect Stock Markets (2013)How Different Terrorist Attac…Forecasting, Structural Time Series Models and the Kalman Filter (1990)The Effectiveness of Antiterrorism Policies: A Vector-Autoregression-Intervention Analysis (1993)International R&D spillovers (1995)Is Transnational Terrorism Becoming More Threatening? (2000)The Propaganda of the Deed: Terrorism, Counterterrorism, and Mobilization (2007)The Political Economy of Terrorism (2011)The geographical magazine (1951)An economic perspective on transnational terrorism (2004)The political economy of terrorism (2006)CALCULATING TRAGEDY: ASSESSING THE COSTS OF TERRORISM (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)The Framing of Decisions and the Psychology of Choice (1981)The Effect of Risk Perceptions on Intentions to Travel in the Aftermath of September 11, 2001 (2004)Assessing impacts of SARS and Avian Flu on international tourism demand to Asia (2008)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)5 Stochastic volatility (1996)Dealing with Structural Breaks (2005)Unit Roots and Cointegration in Panels (2008)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)The detection and estimation of long memory in stochastic volatility (1998)Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development (2004)Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)The Adjustment of Stock Prices to New Information (1969)Using daily stock returns (1985)Terrorism and the world economy (2007)Geopolitical risks and stock market dynamics of the BRICS (2018)Economic Growth in a Cross Section of Countries (1991)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Poverty, Political Freedom, and the Roots of Terrorism (2006)Civil War (2010)Comparative Politics and the Synthetic Control Method (2014)Macroeconomic consequences of terror: theory and the case of Israel (2004)Non-stationary log-periodogram regression (1999)An automatic Portmanteau test for serial correlation (2009)Cryptocurrencies and stock market indices. Are they related? (2019)
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References

  • 2003The Economic Costs of Conflict: A Case Study of the Basque Country4,514 cited
  • 1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models1,050 cited
  • 1994Efficient Tests of Nonstationary Hypotheses863 cited
  • 2004The effects of terrorism on global capital markets532 cited
  • 2003Regional Effects of Terrorism on Tourism in Three Mediterranean Countries471 cited
  • 1992An Econometric Analysis of the Impact of Terrorism on Tourism457 cited
  • 1996Terrorism and Foreign Direct Investment in Spain and Greece378 cited
  • 2004Financial markets and terrorism293 cited
  • 2004Terrorism-induced structural shifts in financial risk: airline stocks in the aftermath of the September 11th terror attacks249 cited
  • 1994Efficient Tests of Nonstationary Hypotheses240 cited

Cited by

  • 2013How Different Terrorist Attacks Affect Stock Markets136 cited
  • 2019Oil price shocks, global economic policy uncertainty, geopolitical risk, and stock price in Malaysia: Factor augmented VAR approach78 cited
  • 2016Is there a link between politics and stock returns? A literature survey75 cited
  • 2016The impact of 11/13 Paris terrorist attacks on stock prices: evidence from the international defence industry33 cited

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  • 2020The impact of foreign direct investment on trade in Pakistan: the moderating role of terrorism13 cited