The impact of international terrorist attacks on the risk and return of Malaysian equity portfolios
Date
2012
Authors
Ramiah, V.
Editors
Advisors
Journal Title
Journal ISSN
Volume Title
Type:
Journal article
Citation
Review of Pacific Basin Financial Markets and Policies, 2012; 15(4, article no. 1250020):1250020-1250020
Statement of Responsibility
Conference Name
Abstract
How are the risks and returns of industrial and market portfolios altered as a result of terrorist events? This paper investigates the effects of five international terrorist attacks on equities listed on the Malaysian Stock Exchange. It uses an event study methodology to explore the relationship between equity stock returns, terrorist attacks and asset pricing models to assess whether systematic risks change after these events. The evidence demonstrates that strategies such as closing down an exchange during a crisis are ineffective. Furthermore, after the September 11, 2001 attacks, Malaysian equity markets were insensitive to subsequent terrorist attacks in other countries.
School/Discipline
Dissertation Note
Provenance
Description
Link to a related website: http://pdfs.semanticscholar.org/8333/0f26f7b74dfb8a9a4db2a03498dd5bb7de55.pdf, Open Access via Unpaywall
Access Status
Rights
Copyright 2015 World Scientific Publishing Co.