文章基本信息

标题：Quantifying the Impact of Terrorism on Financial Markets of Pakistan
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作者：Ayesha Nazuk ; Ayesha Nazuk ; Asma Shamshad 等
期刊名称：International Journal of Economic Theory and Application
电子版ISSN：2375-298X
出版年度：2017
卷号：4
期号：1
页码：1-12
语种：English
出版社：The American Association for Science and Technology
摘要：Terrorism is one of the grave global issues that demands corrective action to avoid its detrimental consequences. Pakistan has been facing serious challenges of terrorism and there is a need to measure the damage done by this perilous ailment. Terrorism can impact a country in multiple manners however; this study focuses on measuring the association of terrorism on financial markets of Pakistan. This study analyzes the impact of terrorism on Karachi Stock Exchange 100 as it represents all sectors of the Karachi Stock Exchange and includes the largest companies on the basis of their market capitalization. This study also analyzes impact of terrorism on Pakistan Euro/PKR exchange rate. Generalized Auto Regressive Conditional Hetroscedasticity has been used to conclude that, in post-9-11 regime, Pakistan’s stock market is not responsive to number of attacks per day and number of deaths shows no effect both in pre-9-11 and post-9-11 era. Moreover, in post-9-11 regime Pakistan’s stock market has shown increased response to attack in a major city. In post-9-11 regime, foreign exchange market of Pakistan is less responsive to number of attacks per day in the post-9-11 regime as compared to post-9-11 regime. Moreover, attacks per day and number of deaths showed no effect on foreign exchange market of Pakistan both for pre-9-11 and post-9-11 regime.
关键词：Generalized Auto Regressive Conditional Hetroscedasticity; Terrorism; Financial Markets; 9-11