Bidirectional Relationship between Terrorism and Pakistan Stock Market

Evidence from ARDL and Nonlinear ARDL Approaches

Bibliographic Data

ID22238128
AuthorsShafqat Abbas (0000-0002-5987-2298, Bahauddin Zakariya University, corresponding author)
Year2021
Volume5
Issue4
Pages423-440
Publication date2021-12-31
Peer ReviewedYes
Open AccessYes
TypeARTICLE
VenuePakistan Social Sciences Review (JOURNAL)
Journal identifiersISSN: 2664-0422 • E-ISSN: 2664-0430
PublisherFatima Gohar Educational and Welfare Society (PUBLISHER)
DOI10.35484/pssr.2021(5-iv)33
OpenAlexW4200422883
LanguageEN
Citations received1
References cited3

This study used to find the effect of terrorism attacks over the Overall Pakistan Stock market for the period from January-2005 to December 2019. This study used all the companies registered in the Pakistan stock exchange. By employing ARDL technique this study statistically proved the existence of long-run relationship between the variable as there is co-integration between them. Diagnostic tests are also found to be satisfactory. Goodness of Fit R 2 of the model is 12.6% which is due to the impact of other variables on the stock return. NARDL is also applied and the results indicated that stock market reacts to terrorism activities in the short term due to increases and decreases in terrorism activities. However, no long run asymmetry is observed. This study couldn't include international stock markets due to time and financial constraints. Future research can included other countries' data and compare the results with this study

Econometrics · Economics · Financial economics · Geography · Macroeconomics · Monetary economics · Nonlinear system · Political science · Stock market · Terrorism · Market Dynamics and Volatility

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