Terrorism and Stock Market Linkages: An Empirical Study from a Front-line State

Imtiaz Arif; Tahir Suleman

doi:10.1177/0972150916668604

Terrorism and Stock Market Linkages: An Empirical Study from a Front-line State

Imtiaz Arif^*, Tahir Suleman

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

16 Scopus citations

Abstract

This article investigates the impact of prolonged terrorist activities on stock prices of different sectors listed in the Karachi Stock Exchange (KSE) by using the newly developed terrorism impact factor index with lingering effect (TIFL) and monthly time series data from 2002 (January) to 2011 (December). Johansen and Juselius (JJ) cointegration revealed a long-run relationship between terrorism and stock price. Normalized cointegration vectors are used to test the effect of terrorism on stock price. Results demonstrate a significantly mixed positive and negative impact of prolonged terrorism on stock prices of different sectors and show that the market has not become insensitive to the prolonged terrorist attacks.

Original language	English
Pages (from-to)	365-378
Number of pages	14
Journal	Global Business Review
Volume	18
Issue number	2
DOIs	https://doi.org/10.1177/0972150916668604
State	Published - 1 Apr 2017
Externally published	Yes

Bibliographical note

Publisher Copyright:
© 2017, © 2017 International Management Institute, New Delhi.

Keywords

Prolonged terrorist attacks
financial markets
financial risk
stock price

ASJC Scopus subject areas

Business and International Management

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10.1177/0972150916668604

Cite this

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title = "Terrorism and Stock Market Linkages: An Empirical Study from a Front-line State",

abstract = "This article investigates the impact of prolonged terrorist activities on stock prices of different sectors listed in the Karachi Stock Exchange (KSE) by using the newly developed terrorism impact factor index with lingering effect (TIFL) and monthly time series data from 2002 (January) to 2011 (December). Johansen and Juselius (JJ) cointegration revealed a long-run relationship between terrorism and stock price. Normalized cointegration vectors are used to test the effect of terrorism on stock price. Results demonstrate a significantly mixed positive and negative impact of prolonged terrorism on stock prices of different sectors and show that the market has not become insensitive to the prolonged terrorist attacks.",

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AU - Arif, Imtiaz

AU - Suleman, Tahir

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N2 - This article investigates the impact of prolonged terrorist activities on stock prices of different sectors listed in the Karachi Stock Exchange (KSE) by using the newly developed terrorism impact factor index with lingering effect (TIFL) and monthly time series data from 2002 (January) to 2011 (December). Johansen and Juselius (JJ) cointegration revealed a long-run relationship between terrorism and stock price. Normalized cointegration vectors are used to test the effect of terrorism on stock price. Results demonstrate a significantly mixed positive and negative impact of prolonged terrorism on stock prices of different sectors and show that the market has not become insensitive to the prolonged terrorist attacks.

AB - This article investigates the impact of prolonged terrorist activities on stock prices of different sectors listed in the Karachi Stock Exchange (KSE) by using the newly developed terrorism impact factor index with lingering effect (TIFL) and monthly time series data from 2002 (January) to 2011 (December). Johansen and Juselius (JJ) cointegration revealed a long-run relationship between terrorism and stock price. Normalized cointegration vectors are used to test the effect of terrorism on stock price. Results demonstrate a significantly mixed positive and negative impact of prolonged terrorism on stock prices of different sectors and show that the market has not become insensitive to the prolonged terrorist attacks.

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ER -

Terrorism and Stock Market Linkages: An Empirical Study from a Front-line State

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

Access to Document

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Cite this