The impact of terrorism on global equity market integration
In this paper we investigate the short-term contagion and long-term integration effects of terrorist activity on national stock markets. Using the partially integrated model of Bekaertet al.(Bekaert G, Harvey C and Ng A (2005) Market integration and contagion. Journal of Business 78: 39-69), we examine whether changes in cross-border relationships surrounding recent terrorist events are caused by changes in exposure to common risk factors and investigate whether these findings are similar...[Show more]
|Collections||ANU Research Publications|
|Source:||Australian Journal of Management|
|01_Bilson_The_impact_of_terrorism_on_2012.pdf||655.65 kB||Adobe PDF||Request a copy|
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