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Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/26056

Title: Terror attacks and stock-market fluctuations: evidence based on a nonparametric causality-in-quantiles test for the G7 countries
Authors: Balcilar, Mehmet
Gupta, Rangan
Pierdzioch, Christian
Wohar, Mark E.
Keywords: Stock markets
Returns
Volatility
Nonparametric causality-in-quantiles test
Terror attacks
G7 countries
Issue Date: 2016
Publisher: © Taylor & Francis
Citation: BALCILAR, M. ...et al., 2016. Terror attacks and stock-market fluctuations: evidence based on a nonparametric causality-in-quantiles test for the G7 countries. European Journal of Finance, In Press.
Abstract: We use a novel non-parametric causality-in-quantiles test to study the effects of terror attacks on stock-market returns and volatility in G7 countries. We also use the novel test to study the international repercussions of terror attacks. Test results show that terror attacks often have significant effects on returns, whereas the effect on volatility is significant only for Japan and the UK for several quantiles above the median. The effects on returns in many cases become stronger in terms of significance for the upper and lower quantiles of the conditional distribution of stock-market returns. As for international repercussions, we find that terror attacks mainly affect the tails of the conditional distribution of stock-market returns. We find no evidence of a significant cross-border effects of terror attacks on stock-market volatility, where again Japan and the UK are exceptions as far as terror attacks on the US are concerned. Finally, our results continue to hold following various robustness checks involving model structure, lag-lengths and possible omitted variable bias.
Description: This paper is in closed access until 3rd April 2018.
Version: Accepted for publication
DOI: 10.1080/1351847X.2016.1239586
URI: https://dspace.lboro.ac.uk/2134/26056
Publisher Link: http://dx.doi.org/10.1080/1351847X.2016.1239586
ISSN: 1351-847X
Appears in Collections:Closed Access (Business School)

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