IMPACT OF TERRORISM, POLITICAL SYSTEM AND EXCHANGE RATE FLUCTUATIONS ON STOCK MARKET VOLATILITY

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JAVAID MUHAMMAD EHSAN; KOUSAR SHAHZAD

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Journal: Interdisciplinary Journal of Management Studies Year:2018 | Volume:11 | Issue:3 Page(s): 519-546

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Information Journal Paper

Title

IMPACT OF TERRORISM, POLITICAL SYSTEM AND EXCHANGE RATE FLUCTUATIONS ON STOCK MARKET VOLATILITY

Author(s)

JAVAID MUHAMMAD EHSAN | KOUSAR SHAHZAD | Issue Writer Certificate

Keywords

TERRORIST EVENTSQ1

FOREIGN TERRORISMQ1

DOMESTIC TERRORISMQ1

STOCK MARKET VOLATILITYQ1

EGARCHQ2

Abstract

Terrorism, political system instability and currency rate fluctuations are the three most evident issues of 21st century. In this study, comparative analysis is performed to check the impact of all these issues on PSX Volatility. EGARCH (1, 1) approach is used on four different kinds of data collected from 1st January 2000 to 31st December 2015. 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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APA: Copy

JAVAID, MUHAMMAD EHSAN, & KOUSAR, SHAHZAD. (2018). IMPACT OF TERRORISM, POLITICAL SYSTEM AND EXCHANGE RATE FLUCTUATIONS ON STOCK MARKET VOLATILITY. IRANIAN JOURNAL OF MANAGEMENT STUDIES, 11(3 ), 519-546. SID. https://sid.ir/paper/240922/en

Vancouver: Copy

JAVAID MUHAMMAD EHSAN, KOUSAR SHAHZAD. IMPACT OF TERRORISM, POLITICAL SYSTEM AND EXCHANGE RATE FLUCTUATIONS ON STOCK MARKET VOLATILITY. IRANIAN JOURNAL OF MANAGEMENT STUDIES[Internet]. 2018;11(3 ):519-546. Available from: https://sid.ir/paper/240922/en

IEEE: Copy

MUHAMMAD EHSAN JAVAID, and SHAHZAD KOUSAR, “IMPACT OF TERRORISM, POLITICAL SYSTEM AND EXCHANGE RATE FLUCTUATIONS ON STOCK MARKET VOLATILITY,” IRANIAN JOURNAL OF MANAGEMENT STUDIES, vol. 11, no. 3 , pp. 519–546, 2018, [Online]. Available: https://sid.ir/paper/240922/en

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