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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Economics of Security Working Paper ; No. 66

Klassifikation und Themen

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

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Kollias, Christos ; Papadamou, Stephanos ; Siriopoulos, Costas
• Ereignis: Veröffentlichung
• (wer): Deutsches Institut für Wirtschaftsforschung (DIW)
• (wo): Berlin
• (wann): 2012

Weitere Informationen

• Handle: http://hdl.handle.net/10419/119392
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ