恐怖主义对中东国家股市收益的空间效应分析

IF 2.8 3区 经济学 Q2 BUSINESS, FINANCE
Ali Rezazadeh, Vahid Nikpey Pesyan, Azhdar Karami
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引用次数: 0

摘要

股票市场对国内外事件高度敏感。证券交易市场对消息反应迅速,被认为是交易条件好坏的指标。恐怖袭击对经济造成不利影响,导致股价波动,从而导致股票收益波动。因此,本文旨在分析2008 - 2019年恐怖主义对中东股市收益的空间效应。设计/方法/方法本文采用分析研究设计和估算空间模型。在估计空间模型之前,利用Moran的空间依赖性诊断检验、Geary的C检验和Akaike统计量对空间自回归模型进行了溢出效应的验证。结果基于空间面板数据和空间自回归估计的研究结果表明,恐怖主义及其相关的邻里效应对中东国家的股票收益具有负向影响。此外,腐败指数和油价对这些国家的股市回报产生负向影响,而民主指数对股市回报产生正向影响。根据研究结果,为了实现高而稳定的股票市场回报,建议与相关国家的领导人进行高层磋商,以减少恐怖活动的破坏性影响,增加政治和经济稳定,吸引股东进入股票市场,并将相应的收入用于发展该地区国家该部门的基础设施。原创性/价值大多数研究在国家或省一级调查了恐怖主义对股票市场回报的影响。然而,恐怖主义对中东紧张地区股市指数的影响,作为世界恐怖袭击的中心,并没有考虑到空间计量效应。因此,据作者所知,本研究是第一次尝试使用空间计量经济学方法研究恐怖主义对中东国家股市回报的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
An analysis of spatial effects of terrorism on stock market returns in the Middle East countries

Purpose

Stock markets are highly sensitive to foreign and domestic events. Stock exchange markets react promptly to news and are known as an indicator of good and bad trading conditions. Terrorist attacks leave adverse effects on the economy and cause stock price volatility and, consequently, stock return volatility. Therefore, this paper aims to analyze the spatial effects of terrorism on stock market returns in the Middle East from 2008 to 2019.

Design/methodology/approach

This paper uses analytical research design and estimates spatial model. Before estimating the spatial model, the spillover effects were confirmed for the spatial autoregressive model using Moran’s diagnostic test for spatial dependence, Geary’s C test and Akaike statistic.

Findings

The results of this study on spatial panel data and based on spatial autoregressive estimator indicated that terrorism and associated neighborhood effects had a negative impact on stock returns in Middle East countries. Also, the corruption index and oil price negatively affected stock market return in these countries, while the democracy index had a positive effect on stock market returns. According to the results, to achieve a high and stable stock market return, it is recommended that high-level consultation is pursued with leaders of involved countries to reduce the devastating effects of terrorist activities, increase political and economic stability, attract stockholders to stock markets and spend corresponding incomes developing the infrastructures in this sector in countries of this region.

Originality/value

Most of the studies have investigated the impact of terrorism on the stock market returns at the national or provincial level. However, the effect of terrorism on the stock market index in the tense region of the Middle East, which is the center of terrorist attacks in the world, has not been dealt with by considering the spatial econometric effects. Thus, to the best of the authors’ knowledge, this research is a first attempt to study the impact of terrorism on the stock market returns in Middle East countries using the spatial econometric approach.

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来源期刊
CiteScore
5.40
自引率
10.00%
发文量
45
期刊介绍: The International Journal of Islamic and Middle Eastern Finance and Management (IMEFM) publishes quality and in-depth analysis on current issues within Islamic and Middle Eastern finance and management. The journal welcomes strong evidence-based empirical studies and results-focused case studies that share research in product development and clarify best practices. The title is also keen to consider work from emerging authors. IMEFM has just also accepted into Clarivate''s SSCI in 2018, and its IF will be available in summer 2019, with citations dating from 2016. The coverage includes but is not limited to: -Islamic finance: Fundamentals, trends and opportunities in Islamic Finance, Islamic banking and financial markets, Risk management, Corporate finance, Investment strategy, Islamic social finance, Financial planning, Housing finance, Legal and regulatory issues, -Islamic management: Corporate governance, Customer relationship management and service quality, Business ethics and corporate social responsibility, Management styles and strategies in Shariah environments, Labour and welfare economics, Political economy. The journal is the only title aiming to give an interdisciplinary and holistic view on Islamic finance and business management practices in order to inform these two intertwined communities.
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