文章基本信息

标题：Terrorism and Stock Market Nexus: New Evidence from Wavelet Analysis
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作者：Imtiaz Arif
期刊名称：South Asian Journal of Management Sciences
印刷版ISSN：2074-2967
出版年度：2017
卷号：11
页码：95-108
语种：English
出版社：Iqra University
摘要：This study examines the impact of terrorism on Karachi stock market returns. Daily data of KSE100 index from 1st July 1999 to 31st December 2015 is used for the empirical analysis. The objective of this paper is to examine the change in systematic risk in response to the terrorist activities. Multiscale data derived from Maximal Overlap Discrete Wavelet Transformation (MODWT) was used to test the heterogeneous market hypothesis. The results showed no relationship between Terrorism and increase in the systematic risk for KSE100 index returns mainly in short-run.
关键词：Terrorism; KSE100 index; wavelet; decomposition; MODWT