How did the French and Belgian equity markets react to their domestic terrorist attacks?
Date
2017
Authors
Veron, J.F.
Wang, I.
Duong, H.
Dang, V.N.T.
Pham, H.N.A.
Ramiah, V.
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Journal of Business and Financial Affairs, 2017; 6(2, article no. 1000268):1-4
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Abstract
This paper investigates the effects of domestic terrorist attacks on the stocks listed on French and Belgian stock exchanges. We use two asset pricing models (CAPM and Fama-French Five-Factor Model) to assess how abnormal returns have changed following the attacks. We also estimate short-term and long-term changes in systematic risk around the attacks. Our findings show that the French sectors experienced mixed reactions following the Charlie Hebdoattack and were moderately affected by other terrorist attacks (Paris and Nice). Furthermore, the results indicate that Belgian sectors were sensitive to Brussels terrorist attack in terms of both risk and return.
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Copyright 2017 The author(s). This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited