An Empirical Analysis of Terrorism and Stock Market Spillovers: The Case of Spain

References

• Abadie, A., and J. Gardeazabal. 2003. “The Economics Costs of Conflict: A Case of Study of the Basque Country.” American Economic Review 93 (1): 113–132. doi:10.1257/000282803321455188.
   Web of Science ®Google Scholar
• Apergis, E., and N. Apergis. 2016. “The 11/13 Paris Terrorist Attacks and Stock Prices: The Case of International Defense Industry.” Finance Research Letters 17: 186–192. doi:10.1016/j.frl.2016.03.002.
   Web of Science ®Google Scholar
• Arin, K., D. Ciferri, and N. Spagnolo. 2008. “The Price of Terror: The Effects of Terrorism on Stock Market Returns and Volatility.” Economics Letters 101: 164–167. doi:10.1016/j.econlet.2008.07.007.
   Web of Science ®Google Scholar
• Barros, C., and L. Alana. 2009. “Stock Market Returns and Terrorist Violence: Evidence from the Basque Country.” Applied Economic Letters 16 (15): 1575–1579. doi:10.1080/13504850701578918.
   Web of Science ®Google Scholar
• Bloomberg, S., G. Hess, and A. Orphanides. 2004. “The Macroeconomic Consequences of Terrorism.” Journal of Monetary Economics 51: 1007–1032. doi:10.1016/j.jmoneco.2004.04.001.
   Web of Science ®Google Scholar
• Chesney, M., G. Reshetar, and M. Karaman. 2011. “The Impact of Terrorism on Financial Markets: An Empirical Study.” Journal of Banking and Finance 35: 253–267. doi:10.1016/j.jbankfin.2010.07.026.
   Web of Science ®Google Scholar
• Clemente, J., A. Montañes, and M. Reyes. 1998. “Testing for a Unit Root in Variables with a Double Change in the Mean.” Economics Letters 59: 175–182. doi:10.1016/S0165-1765(98)00052-4.
   Web of Science ®Google Scholar
• Diebold, F., and K. Yilmaz. 2009. “Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets.” The Economic Journal 119: 158–171. doi:10.1111/j.1468-0297.2008.02208.x.
   Web of Science ®Google Scholar
• Diebold, F., and K. Yilmaz. 2012. “Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers.” International Journal of Forecasting 28: 57–66. doi:10.1016/j.ijforecast.2011.02.006.
   Web of Science ®Google Scholar
• Diebold, F., and K. Yilmaz. 2014. “On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms.” Journal of Econometrics 182: 119–134. doi:10.1016/j.jeconom.2014.04.012.
   Web of Science ®Google Scholar
• Diebold, F., and K. Yilmaz. 2015. Financial and Macroeconomic Connectedness. United States: Oxford University Press.
   Google Scholar
• Dorta, A., J. Jiménez, and A. Alemán. 2016. “The Impact of ETA’s Dissolution on Domestic Tourism in Spain.” Defence and Peace Economics 27 (6): 854–870. doi:10.1080/10242694.2015.1025485.
   Web of Science ®Google Scholar
• Drakos, K. 2010. “Terrorism Activity, Investor Sentiment and Stock Returns.” Review of Financial Economics 19: 128–135. doi:10.1016/j.rfe.2010.01.001.
   Google Scholar
• Drakos, K. 2011. “Behavioral Channels in the Cross-Market Diffusion of Major Terrorism Shocks.” Risk Analysis 31 (1): 143–159. doi:10.1111/j.1539-6924.2010.01473.x.
   PubMed Web of Science ®Google Scholar
• Drakos, K., and A. Kutan. 2003. “Regional Effects of Terrorism on Tourism in Three Mediterranean Countries.” Journal of Conflict Resolution 47 (5): 621–641. doi:10.1177/0022002703258198.
   Web of Science ®Google Scholar
• Drakos, K., and C. Kallandranis. 2015. “A Note on the Effect of Terrorism on Economic Sentiment.” Defence and Peace Economics 26 (6): 600–608. doi:10.1080/10242694.2015.1016295.
   Web of Science ®Google Scholar
• Eckstein, Z., and D. Tsiddon. 2004. “Macroeconomic Consequences of Terror: Theory and the Case of Israel.” Journal of Monetary Economics 51: 970–1002. doi:10.1016/j.jmoneco.2004.05.001.
   Web of Science ®Google Scholar
• Enders, W., and T. Sandler. 1991. “Causality between Transnational Terrorism and Tourism: The Case of Spain.” Terrorism 14 (1): 49–58. doi:10.1080/10576109108435856.
   Google Scholar
• Fielding, D. 2003. “Modelling Political Instability and Economic Performance: Israeli Investment during the Intifada.” Economica 70 (277): 159–186. doi:10.1111/ecca.2003.70.issue-277.
   Web of Science ®Google Scholar
• Global Terrorism Index. 2017. United States: Institute for Economics and Peace.
   Google Scholar
• Jetter, M. 2017. “The Effect of Media Attention on Terrorism.” Journal of Public Economics 153: 32–48. doi:10.1016/j.jpubeco.2017.07.008.
   Web of Science ®Google Scholar
• Katos, K., H. Liebert, and G. Schulze. 2011. “On the Origin of Domestic and International Terrorism.” European Journal of Political Economy 27 (S1): 17–36. doi:10.1016/j.ejpoleco.2011.02.002.
   Google Scholar
• Kolaric, S., and D. Schiereck. 2016. “Are Stock Markets Efficient in the Face of Fear? Evidence from the Terrorist Attacks in Paris and Brussels.” Finance Research Letters 18: 306–310. doi:10.1016/j.frl.2016.05.003.
   Web of Science ®Google Scholar
• Kollias, C., S. Papadamou, and A. Stagiannis. 2011. “Terrorism and Capital Markets: The Effects of the Madrid and London Bomb Attacks.” International Review of Economics and Finance 20: 532–541. doi:10.1016/j.iref.2010.09.004.
   Web of Science ®Google Scholar
• Koop, G., M. Pesaran, and S. Potter. 1996. “Impulse Response Analysis in Non-Linear Multivariate Models.” Journal of Econometrics 74: 119–147. doi:10.1016/0304-4076(95)01753-4.
   Web of Science ®Google Scholar
• Leoniso, R., F. Molina, and D. Muro. 2017. “ETA’s Terrorist Campaign: From Violence to Politics, 1968–2015.” In Extremism and Democracy. Abingdon: Routledge.
   Google Scholar
• Mehmood, S. 2014. “Terrorism and the Macroeconomy: Evidence from Pakistan.” Defence and Peace Economics 25 (5): 509–534. doi:10.1080/10242694.2013.793529.
   Web of Science ®Google Scholar
• Pesaran, M., and Y. Shin. 1998. “Generalized Impulse Response Analysis in Linear Multivariate Models.” Economic Letters 58: 17–29. doi:10.1016/S0165-1765(97)00214-0.
   Web of Science ®Google Scholar
• Rodríguez, J., J. Rodríguez, R. Salas, and J. Suarez-Pandiello. 2009. “Quantifying Fear: The Social Impact of Terrorism.” Journal of Policy Modelling 31: 803–817. doi:10.1016/j.jpolmod.2008.07.004.
   Web of Science ®Google Scholar
• Slovic, P. 1987. “Perception of Risk.” Science 236: 280–285. doi:10.1126/science.3563507.
   PubMed Web of Science ®Google Scholar