Terrorism Induced Cross-Market Transmission of Shocks: A Case Study Using Intraday Data

Arbeitspapier

Terrorist incidents exert a negative, albeit generally short-lived, impact on markets and equity returns. Given the integration of global financial markets, mega-terrorist events also have a high contagion potential with their shock waves being transmitted across countries and markets. This paper investigates the cross-market transmission of the London Stock Exchange's reaction to the terrorist attacks of 2005. It focuses on how this reaction was transmitted to two other major European stock exchanges: Frankfurt and Paris. To this effect, high frequency data are used and multivariate GARCH models are employed. Findings reported herein indicate that the volatility of stock market returns is increased in all three cases.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Economics of Security Working Paper ; No. 66

Classification and Topics

• Classification: Wirtschaft ; National Security and War ; International Financial Markets
• Subject: terrorism ; capital markets ; contagion ; multivariate GARCH

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Kollias, Christos ; Papadamou, Stephanos ; Siriopoulos, Costas
• Event: Veröffentlichung
• (who): Deutsches Institut für Wirtschaftsforschung (DIW)
• (where): Berlin
• (when): 2012

Further information

• Handle: http://hdl.handle.net/10419/119392
• Last update: 10.03.2025, 11:43 AM CET