تعداد نشریات | 161 |
تعداد شمارهها | 6,500 |
تعداد مقالات | 70,262 |
تعداد مشاهده مقاله | 123,480,956 |
تعداد دریافت فایل اصل مقاله | 96,709,013 |
Impact of Terrorism, Political System and Exchange Rate Fluctuations on Stock Market Volatility | ||
Interdisciplinary Journal of Management Studies (Formerly known as Iranian Journal of Management Studies) | ||
مقاله 5، دوره 11، شماره 3، آذر 2018، صفحه 519-546 اصل مقاله (2.52 M) | ||
نوع مقاله: Research Paper | ||
شناسه دیجیتال (DOI): 10.22059/ijms.2018.251471.673006 | ||
نویسندگان | ||
Muhammad Ehsan Javaid* 1؛ Shahzad Kousar2 | ||
1Department of Business Administration, Allama Iqbal Open University Islamabad, Islamabad, Pakistan | ||
2Department of Management Sciences, COMSATS Institute of Information Technology, Islamabad, Pakistan | ||
چکیده | ||
Terrorism, political system instability and currency rate fluctuations are the three most evident issues of 21st century. In this study, comparative analysis is performed to check the impact of all these issues on PSX Volatility. EGARCH (1,1) approach is used on four different kinds of data collected from 1st January 2000 to 31st December 2015. Terrorist events, FX return fluctuations with restoration of democratic political system in Pakistan are considered in this study. Results confirm that democratic political government reduces PSX volatility while terrorism increases it. Terrorist attacks are categorized into various categories. Event day analysis confirms that Pakistan stock market (PSX) is efficient enough to absorb the effects of terrorist attack within a day. Holding portfolios and performing arbitrage activities by the investors diversify the risks due to foreign exchange (FX) fluctuations which show no significant impact on PSX volatility. | ||
کلیدواژهها | ||
Terrorist events؛ foreign terrorism؛ domestic terrorism؛ stock market volatility؛ EGARCH | ||
عنوان مقاله [English] | ||
تاثیر تروریسم، سیستم سیاسی و نوسانات نرخ ارز در نوسانات بازار سهام | ||
نویسندگان [English] | ||
محمد احسان جاوید1؛ شهزاد کوثر2 | ||
1گروه مدیریت کسب و کار، دانشگاه آزاد علامه اقبال اسلام آباد، اسلام آباد، پاکستان | ||
2گروه علوم مدیریت، موسسه فن آوری اطلاعات کومساتس، اسلام آباد، پاکستان | ||
چکیده [English] | ||
تروریسم، بیثباتی سیستم سیاسی و نوسانات نرخ ارز، سه مسأله برجسته قرن بیست و یکم است. در این مطالعه، برای بررسی تأثیر تمام این مسائل بر نوساناتبازار سهام پاکستان، تجزیه و تحلیل تطبیقیانجام شدهاست. روش EGARCH (1،1)در چهار نوع اطلاعات جمعآوری شده از 1 ژانویه 2000 تا 31 دسامبر 2015 مورداستفاده قرارگرفتهاست. رویدادهای تروریستی، نوسانات بازگشتنوسانات ارزبا بازسازی سیستم سیاسی دموکراتیک در پاکستان در این مطالعه در نظر گرفته شدهاست. نتایج نشان میدهد که دولت سیاسی دموکراتیک، نوساناتبازار سهام پاکستانرا کاهش میدهد، در حالیکه تروریسم آن را افزایش میدهد. حملات تروریستی به دستههای مختلف طبقهبندی میشوند. تجزیه و تحلیل روز رویداد نشان میدهد که بازار سهام پاکستانبه اندازه کافی کارآمد است تا تاثیرات حملات تروریستی را در یک روز جذب کند. نگهداری سبد سهام و انجام فعالیتهای آربیتراژی توسط سرمایهگذاران، ریسکهای ناشی از نوسانات ارزرا متنوعسازی میکنند در نتیجه هیچ تاثیر قابلتوجهی بر نوساناتبازار سهام پاکستانندارند. | ||
کلیدواژهها [English] | ||
رویدادهای تروریستی, تروریسم خارجی, تروریسم داخلی, نوسانات بازار سهام, EGARCH | ||
مراجع | ||
Abadie, A., & Gardeazabal, J. (2008). Terrorism and the world economy. European Economic Review, 52(1), 1-27. Abdalla, I. S., & Murinde, V. (1997). Exchange rate and stock price interactions in emerging financial markets: Evidence on India, Korea, Pakistan and The Philippines. Applied Financial Economics, 7(1), 25-35. Arin, K. P., Ciferri, D., & Spagnolo, N. (2008). The price of terror: The effects of terrorism on stock market returns and volatility. Economics Letters, 101(3), 164-167. Aslam, F. (2014). How terrorist attacks affect the volatility of the Pakistani stock market? 남아시아연구, 19(3), 151-181. Aslam, F., & Kang, H.-G. (2013). How different terrorist attacks affect stock markets. Defence and Peace Economics, 26(6), 634-648. Aydemir, O., & Demirhan, E. (2009). The relationship between stock prices and exchange rates: Evidence from Turkey. International Research Journal of Finance and Economics, 23(2), 207-215. Bautista, C. C. (2003). Stock market volatility in the Philippines. Applied Economics Letters, 10(5), 315-318. Beaulieu, M.-C., Cosset, J.-C., & Essaddam, N. (2005). The Impact of political risk on the volatility of stock returns: The case of Canada. Journal of International Business Studies, 36(6), 701-718. Bittlingmayer, G. (1998). Output, stock volatility, and political uncertainty in a natural experiment: Germany, 1880–1940. The Journal of Finance, 53(6), 2243-2257. Brück, T., & Wickström, B.-A. (2004). The economic consequences of terror: Guest editors' introduction. European Journal of Political Economy, 20(2), 293-300. Charles, A., & Darné, O. (2006). Large shocks and the September 11th terrorist attacks on iinternational stock markets. Economic Modelling, 23(4), 683-698. Chau, F., Deesomsak, R., & Wang, J. (2014). Political uncertainty and stock market volatility in the Middle East and North African (MENA) countries. Journal of International Financial Markets, Institutions and Money, 28, 1-19. Chen, A. H., & Siems, T. F. (2004). The effects of terrorism on global capital markets. European Journal of Political Economy, 20(2), 349-366. Drakos, K. (2004). Terrorism-Induced structural shifts in financial risk: Airline stocks in the aftermath of the September 11th terror attacks. European Journal of Political Economy, 20(2), 435-446. Drakos, K. (2010). Terrorism activity, investor sentiment and stock returns. Review of Financial Economics, 19(3), 128-135. Eldor, R., & Melnick, R. (2004). Financial markets and terrorism. European Journal of Political Economy, 20(2), 367-386. Enders, W., & Sandler, T. (1996). Terrorism and foreign direct investment in Spain and Greece. Kyklos, 49(3), 331-352. Fama, E. F. (1965). Random walks in stock market prices. Financial Analysts Journal, 21(5). Fama, E. F., Fisher, L., Jensen, M. C., & Roll, R. (1969). The adjustment of stock prices to new information. International Economic Review, 10(1), 1-21. Feinstein, S. P. (1987). Stock market volatility. Federal Reserve Bank of Atlanta Economic Review, 2, 42-47. Granger, C. W., Huangb, B.-N., & Yang, C.-W. (2000). A bivariate causality between stock prices and exchange rates: Evidence from recent Asian flu. The Quarterly Review of Economics and Finance, 40(3), 337-354. GTD. (2016). National Consortium For The Study of Terrorism and Responses to Terrorism (START). http://www.start.umd.edu/gtd Johnston, B. R., & Nedelescu, O. M. (2006). The impact of terrorism on financial markets. Journal of Financial Crime, 13(1), 7-25. Kanas, A. (2000). Volatility Spillovers between stock returns and exchange rate changes: International evidence. Journal of Business Finance & Accounting, 27(3‐4), 447-467. Kutty, G. (2010). The relationship between exchange rates and stock prices: The case of Mexico. North American Journal of Finance and Banking Research, 4(4), 1. Ma, C. K., & Kao, G. W. (1990). On exchange rate changes and stock price reactions. Journal of Business Finance & Accounting, 17(3), 441-449. Malkiel, B. G., & Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417. Mnasri, A., & Nechi, S. (2016). Impact of terrorist attacks on stock market volatility in emerging markets. Emerging Markets Review, 28, 184-202. Nasir, M., & Shahbaz, M. (2015). War on terror: Do military measures matter? Empirical analysis of post 9/11 period in Pakistan. Quality & Quantity, 49(5), 1969-1984. Nazir, M. S., Younus, H., Kaleem, A., & Anwar, Z. (2014). Impact of political events on stock market returns: Empirical evidence from Pakistan. Journal of Economic and Administrative Sciences, 30(1), 60-78. Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society, 347-370. Nguyen, A. P., & Enomoto, C. E. (2009). Acts of terrorism and their impacts on stock index returns and volatility: The cases of the Karachi and Tehran Stock Exchanges. The International Business & Economics Research Journal, 8(12), 75. Pan, M.-S., Fok, R. C.-W., & Liu, Y. A. (2007). Dynamic linkages between exchange rates and stock prices: Evidence from East Asian markets. International Review of Economics & Finance, 16(4), 503-520. Pástor, Ľ., & Veronesi, P. (2013). Political uncertainty and risk premia. Journal of Financial Economics, 110(3), 520-545. Quinn, D. P., & Woolley, J. T. (2001). Democracy and national economic performance: The preference for stability. American Journal of Political Science, 634-657. Rahman, A. A., Sidek, N. Z. M., & Tafri, F. H. (2009). Macroeconomic determinants of Malaysian Stock Market. African Journal of Business Management, 3(3), 95. Ramiah, V., & Graham, M. (2013). The impact of domestic and international terrorism on equity markets: Evidence from Indonesia. International Journal of Accounting & Information Management, 21(1), 91-107. Regnault, J. (1863). Calcul Des Cchances Et Philosophie De La Bourse: Mallet-Bachelier. Rodrik, D. (2000). Participatory Politics, social cooperation, and economic stability. The American Economic Review, 90(2), 140-144. Smith, C. W. J. (1988). Market volatility: Causes and consequences. Cornell L. Rev., 74, 953. Walid, C., Chaker, A., Masood, O., & Fry, J. (2011). Stock market volatility and exchange rates in emerging countries: A Markov-State Switching approach. Emerging Markets Review, 12(3), 272-292. | ||
آمار تعداد مشاهده مقاله: 1,355 تعداد دریافت فایل اصل مقاله: 946 |