Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/119392
Authors: 
Kollias, Christos
Papadamou, Stephanos
Siriopoulos, Costas
Year of Publication: 
2012
Series/Report no.: 
Economics of Security Working Paper 66
Abstract: 
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.
Subjects: 
terrorism
capital markets
contagion
multivariate GARCH
JEL: 
H56
G1
G15
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.