European Markets’ Reactions to Exogenous Shocks: A High Frequency Data Analysis of the 2005 London Bombings
Terrorist incidents exert a negative, albeit usually 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 inve...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2013-11-01
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| Series: | International Journal of Financial Studies |
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| Online Access: | http://www.mdpi.com/2227-7072/1/4/154 |
| _version_ | 1818368371550322688 |
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| author | Christos Kollias Stephanos Papadamou Costas Siriopoulos |
| author_facet | Christos Kollias Stephanos Papadamou Costas Siriopoulos |
| author_sort | Christos Kollias |
| collection | DOAJ |
| description | Terrorist incidents exert a negative, albeit usually 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 intraday data are used and multivariate Genralised Autorgressive Conditional Heteroskedasticity (GARCH) models are employed. This type of data help reveal a more accurate picture of markets’ reaction to exogenous shocks, such as a terrorist attack, and thus allow more reliable inferences. Findings reported herein indicate that the volatility of stock market returns is increased in all cases examined. |
| first_indexed | 2024-12-13T23:06:53Z |
| format | Article |
| id | doaj.art-eee585c21b8f43f58288cd6fd7e67f20 |
| institution | Directory Open Access Journal |
| issn | 2227-7072 |
| language | English |
| last_indexed | 2024-12-13T23:06:53Z |
| publishDate | 2013-11-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | International Journal of Financial Studies |
| spelling | doaj.art-eee585c21b8f43f58288cd6fd7e67f202022-12-21T23:28:16ZengMDPI AGInternational Journal of Financial Studies2227-70722013-11-011415416710.3390/ijfs1040154ijfs1040154European Markets’ Reactions to Exogenous Shocks: A High Frequency Data Analysis of the 2005 London BombingsChristos Kollias0Stephanos Papadamou1Costas Siriopoulos2Department of Economics, University of Thessaly, Korai 43, Volos 38333, GreeceDepartment of Economics, University of Thessaly, Korai 43, Volos 38333, GreeceDepartment of Business Administration, University of Patras, Rio, Patras 26504, GreeceTerrorist incidents exert a negative, albeit usually 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 intraday data are used and multivariate Genralised Autorgressive Conditional Heteroskedasticity (GARCH) models are employed. This type of data help reveal a more accurate picture of markets’ reaction to exogenous shocks, such as a terrorist attack, and thus allow more reliable inferences. Findings reported herein indicate that the volatility of stock market returns is increased in all cases examined.http://www.mdpi.com/2227-7072/1/4/154capital marketscontagionterrorismmultivariate GARCH |
| spellingShingle | Christos Kollias Stephanos Papadamou Costas Siriopoulos European Markets’ Reactions to Exogenous Shocks: A High Frequency Data Analysis of the 2005 London Bombings International Journal of Financial Studies capital markets contagion terrorism multivariate GARCH |
| title | European Markets’ Reactions to Exogenous Shocks: A High Frequency Data Analysis of the 2005 London Bombings |
| title_full | European Markets’ Reactions to Exogenous Shocks: A High Frequency Data Analysis of the 2005 London Bombings |
| title_fullStr | European Markets’ Reactions to Exogenous Shocks: A High Frequency Data Analysis of the 2005 London Bombings |
| title_full_unstemmed | European Markets’ Reactions to Exogenous Shocks: A High Frequency Data Analysis of the 2005 London Bombings |
| title_short | European Markets’ Reactions to Exogenous Shocks: A High Frequency Data Analysis of the 2005 London Bombings |
| title_sort | european markets reactions to exogenous shocks a high frequency data analysis of the 2005 london bombings |
| topic | capital markets contagion terrorism multivariate GARCH |
| url | http://www.mdpi.com/2227-7072/1/4/154 |
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