期刊
ECONOMICS LETTERS
卷 101, 期 3, 页码 164-167出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.econlet.2008.07.007
关键词
Multivariate GARCH; Stock prices; Volatility
类别
In this paper we investigate the effects of terrorism on the financial markets. Evidence from six different financial markets shows that terror has a significant impact on both stock markets and the stock market volatility, and the magnitude of these effects are larger in emerging markets. (C) 2008 Elsevier B.V. All rights reserved.
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