An analysis of spatial effects of terrorism on stock market returns in the Middle East countries
Allbwn ymchwil: Cyfraniad at gyfnodolyn › Erthygl › adolygiad gan gymheiriaid
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Yn: International Journal of Islamic and Middle Eastern Finance and Management, Cyfrol 17, Rhif 1, 16.01.2024, t. 45-62.
Allbwn ymchwil: Cyfraniad at gyfnodolyn › Erthygl › adolygiad gan gymheiriaid
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TY - JOUR
T1 - An analysis of spatial effects of terrorism on stock market returns in the Middle East countries
AU - Rezazadeh, Ali
AU - Nikpey Pesyan, Vahid
AU - Karami, Azhdar
N1 - validated without DOA and PP. No replies from Bangor author.
PY - 2024/1/16
Y1 - 2024/1/16
N2 - Stock markets are highly sensitive to foreign and domestic events. Stock exchange markets react promptly to news and are known as an indicator of good and bad trading conditions. Terrorist attacks leave adverse effects on the economy and cause stock price volatility and, consequently, stock return volatility. Therefore, this research aims to analyze the spatial effects of terrorism on stock market returns in the Middle East from 2008-to 2019. Before estimating the spatial model, the spillover effects were confirmed for the spatial autoregressive model using Moran’s diagnostic test for spatial dependence, Geary’s C test, and Akaike statistic. The results of this study on spatial panel data and based on spatial autoregressive estimator indicated that terrorism and associated neighborhood effects had a negative impact on stock returns in Middle East countries. Also, the corruption index and oil price negatively affected stock market return in these countries, while the democracy index had a positive effect on stock market returns. According to the results, to achieve a high and stable stock market return, it is recommended that high level consultation is pursued with leaders of involved countries in order to reduce the devastating effects of terrorist activities, increase political and economic stability, attract stockholders to stock markets, and spend corresponding incomes developing the infrastructures in this sector in countries of this region.
AB - Stock markets are highly sensitive to foreign and domestic events. Stock exchange markets react promptly to news and are known as an indicator of good and bad trading conditions. Terrorist attacks leave adverse effects on the economy and cause stock price volatility and, consequently, stock return volatility. Therefore, this research aims to analyze the spatial effects of terrorism on stock market returns in the Middle East from 2008-to 2019. Before estimating the spatial model, the spillover effects were confirmed for the spatial autoregressive model using Moran’s diagnostic test for spatial dependence, Geary’s C test, and Akaike statistic. The results of this study on spatial panel data and based on spatial autoregressive estimator indicated that terrorism and associated neighborhood effects had a negative impact on stock returns in Middle East countries. Also, the corruption index and oil price negatively affected stock market return in these countries, while the democracy index had a positive effect on stock market returns. According to the results, to achieve a high and stable stock market return, it is recommended that high level consultation is pursued with leaders of involved countries in order to reduce the devastating effects of terrorist activities, increase political and economic stability, attract stockholders to stock markets, and spend corresponding incomes developing the infrastructures in this sector in countries of this region.
U2 - 10.1108/IMEFM-01-2023-0031
DO - 10.1108/IMEFM-01-2023-0031
M3 - Article
VL - 17
SP - 45
EP - 62
JO - International Journal of Islamic and Middle Eastern Finance and Management
JF - International Journal of Islamic and Middle Eastern Finance and Management
IS - 1
ER -