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The impact of terrorist attacks in G7 Countries on international stock markets and the role of investor sentiment

The impact of terrorist attacks in G7 Countries on international stock markets and the role of investor sentiment
The impact of terrorist attacks in G7 Countries on international stock markets and the role of investor sentiment
We consider terrorism acts in G7 countries over the period 1998–2017 and examine their impact on a sample of stock market indices from 66 countries. Using an event-study methodology we find that stock markets decline significantly on the event day and on the following trading day. We further consider the investor sentiment following the attacks, based on the content of country-level news stories and social media sources, and find that indices in countries associated with higher declines in the post-event sentiment, exhibit significantly higher economic losses. Our data and results are robust to several settings; these include using samples of events from different studies, excluding the 9/11 terrorist attack from the sample of events, excluding stock market indices of G7 countries from the sample of equity data and utilizing more sophisticated event-study methodologies.
1042-4431
143-160
Papakyriakou, Panayiotis
71bed450-1b8e-4a9c-a393-60017c63b2d4
Sakkas, Athanasios
5a69d77a-fcea-4e07-bc18-5a8934a4899b
Taoushianis, Zenon
5c536511-1155-4a5b-8249-0a944572b7fc
Papakyriakou, Panayiotis
71bed450-1b8e-4a9c-a393-60017c63b2d4
Sakkas, Athanasios
5a69d77a-fcea-4e07-bc18-5a8934a4899b
Taoushianis, Zenon
5c536511-1155-4a5b-8249-0a944572b7fc

Papakyriakou, Panayiotis, Sakkas, Athanasios and Taoushianis, Zenon (2019) The impact of terrorist attacks in G7 Countries on international stock markets and the role of investor sentiment. Journal of International Financial Markets, Institutions and Money, 61, 143-160. (doi:10.1016/j.intfin.2019.03.001).

Record type: Article

Abstract

We consider terrorism acts in G7 countries over the period 1998–2017 and examine their impact on a sample of stock market indices from 66 countries. Using an event-study methodology we find that stock markets decline significantly on the event day and on the following trading day. We further consider the investor sentiment following the attacks, based on the content of country-level news stories and social media sources, and find that indices in countries associated with higher declines in the post-event sentiment, exhibit significantly higher economic losses. Our data and results are robust to several settings; these include using samples of events from different studies, excluding the 9/11 terrorist attack from the sample of events, excluding stock market indices of G7 countries from the sample of equity data and utilizing more sophisticated event-study methodologies.

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The Impact of Terrorist Attacks in G7 Countries - Accepted Manuscript
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Accepted/In Press date: 4 March 2019
e-pub ahead of print date: 7 March 2019
Published date: July 2019

Identifiers

Local EPrints ID: 429205
URI: http://eprints.soton.ac.uk/id/eprint/429205
ISSN: 1042-4431
PURE UUID: 03441550-a6b1-406e-8913-625d577965b6
ORCID for Panayiotis Papakyriakou: ORCID iD orcid.org/0000-0001-7429-8063
ORCID for Athanasios Sakkas: ORCID iD orcid.org/0000-0001-5348-3382
ORCID for Zenon Taoushianis: ORCID iD orcid.org/0000-0003-2002-6040

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Date deposited: 22 Mar 2019 17:30
Last modified: 28 Apr 2022 04:29

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Author: Athanasios Sakkas ORCID iD

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