150951 20251017144549.0 doi 10.1080/10242694.2019.1617601 sideral 112490 ART-2021-112490 eng Laborda, R. (orcid)0000-0002-2132-2151 An Empirical Analysis of Terrorism and Stock Market Spillovers: The Case of Spain 2021 Access copy available to the general public Unrestricted This article assesses the spillover effects between terrorist activity and Spanish stock market returns for the period 1993–2017. We construct a daily terror index that reflects the terrorist activity of different types of perpetrators: domestic terrorism (ETA) and international terrorism linked to Islamic extremism. Our static analysis shows that connectedness is important, as it explains about half of the forecast error variance; most of it is attributed to shocks from terrorist events on stock market return forecasts. Our dynamic analysis also uncovers an increase in spillover effects between the early period characterised by ETA terrorist attacks and the recent past characterised by Islamic terrorist attacks. info:eu-repo/grantAgreement/ES/DGA/S42-17R-CREVALOR info:eu-repo/semantics/openAccess by-nc https://creativecommons.org/licenses/by-nc/4.0/deed.es 2.027 2021 ECONOMICS 194 / 381 = 0.509 2021 Q3 T2 0.515 2021 Social Sciences (miscellaneous) 2021 Q2 Economics and Econometrics 2021 Q2 2.9 2021 info:eu-repo/semantics/article info:eu-repo/semantics/acceptedVersion Olmo, J. (orcid)0000-0002-0437-7812 32, 1 (2021), 68-86 Def. peace econ. Defence and Peace Economics 1024-2694 1495437 http://zaguan.unizar.es/record/150951/files/texto_completo.pdf Postprint 1106087 http://zaguan.unizar.es/record/150951/files/texto_completo.jpg?subformat=icon icon Postprint oai:zaguan.unizar.es:150951 articulos driver 2025-10-17-14:11:09 ARTICLE