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The price of terror: The effects of terrorism on stock market returns and volatility

Department of Commerce, Massey University, New Zealand; Centre for Applied Macroeconomic Analysis (CAMA), Canberra, Australia; University of Rome, Tor Vergata, Italy; Centre for Empirical Finance, Brunel University, Uxbridge, Middlesex UB8 3PH, UK
Economics Letters 01/2008; DOI: 10.1016/j.econlet.2008.07.007

ABSTRACT In this paper we investigate the effects of terrorism on the financial markets. Evidence from six different financial markets shows that terror has a significant impact on both stock markets and the stock market volatility, and the magnitude of these effects are larger in emerging markets.

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