The effects of recent terrorist attacks on risk and return in commodity markets
Ramiah, Vikash, Wallace, Damien, Veron, Jose Francisco, Reddy, Krishna, and Elliott, Robert (2019) The effects of recent terrorist attacks on risk and return in commodity markets. Energy Economics, 77. pp. 13-22.
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Abstract
The event study methodology of Brown and Warner (1985) is adopted and augmented to evaluate the effect of the recent terrorist attacks on risk and returns in commodity markets. The methodology is supplemented with various techniques, such as the non-parametric ranking test and kernel regression, to identify if 20 terrorist attacks (including in Paris, Nice, Brussels, Stockholm, Manchester, Jakarta, London and Melbourne) generate abnormal returns. Asset pricing models are fitted with interaction variables while GARCH, TARCH, EGARCH and PARCH models are used to determine changes in systematic risk. Our results show abnormal returns and delayed reactions of up to 120 days in the commodity markets—evidence which defies the efficient market hypothesis. In addition, we identify sector and commodity effects in risk analysis.
| Item ID: | 86543 |
|---|---|
| Item Type: | Article (Research - C1) |
| ISSN: | 1873-6181 |
| Keywords: | Terrorist Attack, Abnormal Returns, Systematic Risk, Commodity Market |
| Copyright Information: | © 2018 Elsevier B.V. All rights reserved. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ |
| Date Deposited: | 06 Aug 2025 04:45 |
| FoR Codes: | 35 COMMERCE, MANAGEMENT, TOURISM AND SERVICES > 3502 Banking, finance and investment > 350202 Finance @ 50% 35 COMMERCE, MANAGEMENT, TOURISM AND SERVICES > 3502 Banking, finance and investment > 350299 Banking, finance and investment not elsewhere classified @ 30% 38 ECONOMICS > 3801 Applied economics > 380107 Financial economics @ 20% |
| SEO Codes: | 11 COMMERCIAL SERVICES AND TOURISM > 1102 Financial services > 110201 Finance services @ 60% 11 COMMERCIAL SERVICES AND TOURISM > 1102 Financial services > 110299 Financial services not elsewhere classified @ 40% |
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