CEU Electronic Theses and Dissertations, 2016
| Author | Daniyal Shafiq, Muhammad |
|---|---|
| Title | Effects of Terrorism and Violence on the Karachi Stock Exchange |
| Summary | The main focus of this work is the influence of violence and terrorist events on stock exchange. In particular, I conducted research on the influence of the worst terrorist events in Pakistan on return of the Karachi Stock Exchange based on different categories of terrorism (Al-Qaeda/Taliban attacks, sectarian violence, attacks on armed forces and political violence). I used Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model with dummy variables to estimate the effects of violence and terrorist events. Terrorist events and violence data has been collected from various news websites. Dummy variable is set to 1 for the following three days after event took place and 0 for all other days in the sample. Statistical results show significant negative effect of Al-Qaeda/Taliban attacks, other categories did not have significant impact on return. |
| Supervisor | Julius Horvath |
| Department | Economics MA |
| Full text | https://www.etd.ceu.edu/2016/daniyal_muhammad.pdf |
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