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Quantitative Finance Volume 9, 2009 - Issue 5
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Research Papers

Volatility transmission patterns and terrorist attacks

Helena Chuliá Department of Economics and Business, Universitat Oberta de Catalunya, Av. Tibidabo 39–43, 08035 Barcelona, Spain
,
Francisco Climent Departament d'Economia Financera i Actuarial, Universitat de València, Av. Tarongers s/n, 46022 València, Spain
,
Pilar Soriano Departament d'Economia Financera i Actuarial, Universitat de València, Av. Tarongers s/n, 46022 València, SpainCorrespondence[email protected]
&
Hipòlit Torró Departament d'Economia Financera i Actuarial, Universitat de València, Av. Tarongers s/n, 46022 València, Spain
Pages 607-619 | Received 29 Dec 2006, Accepted 17 Nov 2008, Published online: 18 Jun 2009

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Federico Mejía-Posada, Diana C. Restrepo-Ochoa & Juan E. Isaza. (2022) Do Investors React to Terrorism and Peace in Colombia?. Emerging Markets Finance and Trade 58:6, pages 1550-1565.
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Mine Aksoy & Sercan Demiralay. (2019) The Effects of Terrorism on Turkish Financial Markets. Defence and Peace Economics 30:6, pages 733-755.
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Nicholas Apergis, Matteo Bonato, Rangan Gupta & Clement Kyei. (2018) Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach. Defence and Peace Economics 29:6, pages 684-696.
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Mehmet Balcilar, Rangan Gupta, Christian Pierdzioch & Mark E. Wohar. (2018) Terror attacks and stock-market fluctuations: evidence based on a nonparametric causality-in-quantiles test for the G7 countries. The European Journal of Finance 24:4, pages 333-346.
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Nikos Nomikos & Enrique Salvador. (2014) The role of volatility regimes on volatility transmission patterns. Quantitative Finance 14:1, pages 1-13.
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Articles from other publishers (11)

Maya Jalloul & Mirela Miescu. (2023) Equity market connectedness across regimes of geopolitical risks: Historical evidence and theory. Journal of International Money and Finance 137, pages 102910.
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Fei Su, Lili Zhai, Yunyan Zhou, Zixi Zhuang & Feifan Wang. (2023) Risk contagion in financial markets: A systematic review using bibliometric methods. Australian Economic Papers.
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Sun-Yong Choi. (2022) Evidence from a multiple and partial wavelet analysis on the impact of geopolitical concerns on stock markets in North-East Asian countries. Finance Research Letters 46, pages 102465.
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Erkan Kuzu, Aynur Süsay & Cihan Tanrıöven. (2022) A model study for calculation of the temperatures of major stock markets in the world with the quantum simulation and determination of the crisis periods. Physica A: Statistical Mechanics and its Applications 585, pages 126417.
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EDA ORHUN. (2020) THE IMPACT OF TERRORISM ON TURKISH BANKS’ STOCKS AND CROSS-BANK VARIATION OF ABNORMAL RETURNS. Global Economy Journal 20:02, pages 2050011.
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Jin Suk Park & Mohammad Khaleq Newaz. (2018) Do terrorist attacks harm financial markets? A meta-analysis of event studies and the determinants of adverse impact. Global Finance Journal 37, pages 227-247.
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Mehmet Balcilar, Matteo Bonato, Riza Demirer & Rangan Gupta. (2018) Geopolitical risks and stock market dynamics of the BRICS. Economic Systems 42:2, pages 295-306.
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Rangan Gupta, Anandamayee Majumdar, Christian Pierdzioch & Mark E. Wohar. (2017) Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach. The Quarterly Review of Economics and Finance 65, pages 276-284.
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Mehmet Balcilar, Rangan Gupta, Christian Pierdzioch & Mark E. Wohar. (2017) Do terror attacks affect the dollar-pound exchange rate? A nonparametric causality-in-quantiles analysis. The North American Journal of Economics and Finance 41, pages 44-56.
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Aida Alemany, Laura Ballester & Ana González-Urteaga. (2015) Volatility spillovers in the European bank CDS market. Finance Research Letters 13, pages 137-147.
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Marianna Grimaldi. (2011) Up for Count? Central Bank Words and Financial Stress. SSRN Electronic Journal.
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