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...

We examine the impact of 51 terrorist attacks, three wars, an assassination, and other national security-related shocks on stock markets located in nations proximate to the crises and on American Depository Receipts (ADRs) of firms headquartered in those same nations. ADRs are securities that...