Impact of Terrorism, Political System and Exchange Rate Fluctuations on Stock Market Volatility
Publish place: Iranian Journal of Management Studies، Vol: 11، Issue: 3
Publish Year: 1397
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_JIJMS-11-3_005
تاریخ نمایه سازی: 23 شهریور 1401
Abstract:
Terrorism, political system instability and currency rate fluctuations are the three most evident issues of ۲۱st century. In this study, comparative analysis is performed to check the impact of all these issues on PSX Volatility. EGARCH (۱,۱) approach is used on four different kinds of data collected from ۱st January ۲۰۰۰ to ۳۱st December ۲۰۱۵. 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.
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Authors
محمد احسان جاوید
Department of Business Administration, Allama Iqbal Open University Islamabad, Islamabad, Pakistan
شهزاد کوثر
Department of Management Sciences, COMSATS Institute of Information Technology, Islamabad, Pakistan
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