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The determinants of the cross-market transmission mechanism for terrorist shocks are explored, focusing on two major terrorist events and 68 national stock markets. We generate daily abnormal returns from a three-factor world asset pricing model. Abnormal returns are then regressed on proxies of...
Persistent link: https://www.econbiz.de/10008519457
The extant literature has established that the occurrence of major terrorist events leads to negative abnormal returns not only to the location of the event, but also to third countries. However, the literature has neither investigated which are the diffusion mechanisms of terrorist shocks, nor...
Persistent link: https://www.econbiz.de/10008519458
Motivated by the investor sentiment literature and assuming that terrorist activity influences investor mood the paper explores whether terrorism exerts a significant negative impact on daily stock market returns for a sample of 22 countries. The employed empirical specifications are based on...
Persistent link: https://www.econbiz.de/10005071052
The rapid and accelerating development of security economics has generated great demand for more and better data to accommodate the empirical research agenda. The present paper serves as a guide to policy makers and researchers for security-related databases. The paper focuses on two main...
Persistent link: https://www.econbiz.de/10005071057
Persistent link: https://www.econbiz.de/10005071130
Persistent link: https://www.econbiz.de/10010601623
Based on a trivariate panel VAR and utilizing Generalized Impulse Responses, we explored the dynamic impacts of terrorism and crime risks on public order and safety spending across European countries during the period 1994-2006. Our findings suggest that both a shock in terrorism risk or in...
Persistent link: https://www.econbiz.de/10009024573
We investigate whether differences in terrorism risk are mirrored on terrorism risk concern across European countries for the period 2003-2007. We find that the average propensity for terrorism risk concern is indeed affected by actual risk levels. Furthermore, country and individual...
Persistent link: https://www.econbiz.de/10008557210
We explore whether differences of terrorism risk perception across all European countries reflect their underlying differences in terrorism risk, which we decompose into a long term and innovation component. We employ longitudinal country-level data on terrorism risk concern and our modeling...
Persistent link: https://www.econbiz.de/10008557211