The Impact of Terrorism on Financial Markets: An Empirical Study

Abstract:     
The main focus of this paper is to study empirically the impact of terrorism on the behavior of stock, bond and commodity markets. We consider terrorist events that took place in 25 countries over an 11 year time period and implement our analysis using different methods: an event-study approach, non-parametric methodology, and a filtered GARCH-EVT approach. In addition, we compare the effect of terrorist attacks on financial markets with the impact of other extreme events such as financial crashes and natural catastrophes.

Keywords: Terrorism, Financial Markets, Event-Study, Non-Parametric Methodology, Filtered GARCH-EVT Approach

JEL Classifications: G14, G15, G18, G22, G28

Working Paper Series