An Empirical Analysis of Terrorism and Stock Market Spillovers: The Case of Spain

Laborda, R. ; Olmo, J.

Resumen: 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.

Idioma: Inglés

DOI: 10.1080/10242694.2019.1617601

Año: 2021

Publicado en: Defence and Peace Economics 32, 1 (2021), 68-86
ISSN: 1024-2694

Factor impacto JCR: 2.027 (2021)

Categ. JCR: ECONOMICS rank: 194 / 381 = 0.509 (2021) - Q3 - T2

Factor impacto CITESCORE: 2.9 - Social Sciences (Q1) - Economics, Econometrics and Finance (Q2)

Factor impacto SCIMAGO: 0.515 - Social Sciences (miscellaneous) (Q2) - Economics and Econometrics (Q2)

Financiación: info:eu-repo/grantAgreement/ES/DGA/S42-17R-CREVALOR

Tipo y forma: Article (PostPrint)