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Fear from uncertainty: An event study of Khashoggi and stock market returns

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  • Bash, Ahmad
  • Alsaifi, Khaled

Abstract

This study investigates whether uncertain events affect stock market outcomes. To perform a natural experiment, we measure the effect of the uncertain event of Jamal Khashoggi’s disappearance on the Saudi Stock Exchange. We use traditional event-study methodologies to analyse the data. The findings indicate that this event supports a downward trend in cumulative abnormal returns across all companies, implying a negative effect of uncertainty on stock returns.

Suggested Citation

  • Bash, Ahmad & Alsaifi, Khaled, 2019. "Fear from uncertainty: An event study of Khashoggi and stock market returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 23(C), pages 54-58.
    • Handle: RePEc:eee:beexfi:v:23:y:2019:i:c:p:54-58
    DOI: 10.1016/j.jbef.2019.05.004
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    More about this item

    Keywords

    Stock returns; Event-study methodology; Jamal Khashoggi; Financial risk;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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