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The impact of terrorism on global equity market integration

Bilson, Chris; Brailsford, Tim; Hallett, Aiden; Shi, Jing

Description

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]

CollectionsANU Research Publications
Date published: 2012
Type: Journal article
URI: http://hdl.handle.net/1885/31259
Source: Australian Journal of Management
DOI: 10.1177/0312896211423556

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