Title of article
Impact of Terrorism, Political System and Exchange Rate Fluctuations on Stock Market Volatility
Author/Authors
Javaid ، Muhammad Ehsan - Allama Iqbal Open University Islamabad , Kousar ، Shahzad - Commission on Science and Technology for Sustainable Development in the South Institute of Information Technology (COMSATS Institute of Information Technology)
Pages
28
From page
519
To page
546
Abstract
Terrorism, political system instability and currency rate fluctuations are the three most evident issues of 21st century. In this study, comparative analysis is performed to check the impact of all these issues on PSX Volatility. EGARCH (1,1) approach is used on four different kinds of data collected from 1st January 2000 to 31st December 2015. Terrorist events, FX return fluctuations with restoration of democratic political system in Pakistan are considered in this study. Results confirm that democratic political government reduces PSX volatility while terrorism increases it. Terrorist attacks are categorized into various categories. Event day analysis confirms that Pakistan stock market (PSX) is efficient enough to absorb the effects of terrorist attack within a day. Holding portfolios and performing arbitrage activities by the investors diversify the risks due to foreign exchange (FX) fluctuations which show no significant impact on PSX volatility.
Keywords
Terrorist events , foreign terrorism , domestic terrorism , stock market volatility , EGARCH
Journal title
Iranian Journal of Management Studies
Serial Year
2018
Journal title
Iranian Journal of Management Studies
Record number
2463027
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