Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103585
Authors: 
Kollias, Christos
Papadamou, Stephanos
Siriopoulos, Costas
Year of Publication: 
2013
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Publisher:] MDPI [Place:] Basel [Volume:] 1 [Year:] 2013 [Issue:] 4 [Pages:] 154-167
Abstract: 
Terrorist incidents exert a negative, albeit usually 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 intraday data are used and multivariate Genralised Autorgressive Conditional Heteroskedasticity (GARCH) models are employed. This type of data help reveal a more accurate picture of markets' reaction to exogenous shocks, such as a terrorist attack, and thus allow more reliable inferences. Findings reported herein indicate that the volatility of stock market returns is increased in all cases examined.
Subjects: 
capital markets
contagion
terrorism
multivariate GARCH
JEL: 
G14
G21
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/3.0/
Document Type: 
Article

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