| Abstrakt: |
The current study has estimated the effect of terrorism events on stock markets by taking the sample of six world equity markets (US, UK, China, Turkey, Pakistan and India). The impact of terrorism events on equity returns was analysed using the data from the year 1999 to 2016. Since, the sample was obtained from developed countries, higher income, middle income and lower income countries, therefore the current study analysed the impact of terrorism events by controlling the GDP per capita and inflation of these countries. Regarding the data analysis, panel regression and panel cointegration models are used. Also, the fully modified least square regression (FMOLS) is used to identify the long run relationship. Results indicated a negative impact of terrorism events on returns on equity of world equity markets by controlling the GDP per capita and inflation. Furthermore, the GDP per capita and inflation shows a significant and positive impact on the equity returns of the world equity markets. Furthermore, the country wise estimates indicate the negative impact of terrorism events on the stock markets of China, UK, India and Pakistan. The impact of terrorism events was positive on the markets of US and Turkey. Regarding the integration, the findings of panel cointegration indicates that terrorism, stock market, GDP per capita and inflation are integrated. Moreover, the findings of FMOLS indicate that terrorism have negative and significant impact on the stock markets whereas the in long run relationship GDP per capita have a significant positive relationship with stock market return. The impact of terrorism events on stock markets by taking the sample of mulitple countries from different level of developments and using the sophisticated econometric techniques is lacking. Therefore, the current study fills this gap by analysing the impact of terrorism events using fixed effects regression, Pedroni panel cointegration and fully modified least square regression taking the sample from developed countries (USA, UK), high and middle-income countries (Turkey, China), and low and middle-income countries (Pakistan and India). [ABSTRACT FROM AUTHOR] |
