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Border disputes and heterogeneous sectoral returns: An event study approach

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  • Hassan, M Kabir
  • Boubaker, Sabri
  • Kumari, Vineeta
  • Pandey, Dharen Kumar

Abstract

We show heterogeneous impacts of two sorts of events using a sample of six events arising from the Indian border disputes in 2020. The NIFTY's sectoral indices reacted heterogeneously to both events. While a few sectors evidenced positive and negative abnormal returns, others were unaffected by the events. The cross-section of the abnormal returns reveals that higher risk and volatility lead to higher returns during the post-event window.

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  • Hassan, M Kabir & Boubaker, Sabri & Kumari, Vineeta & Pandey, Dharen Kumar, 2022. "Border disputes and heterogeneous sectoral returns: An event study approach," Finance Research Letters, Elsevier, vol. 50(C).
    • Handle: RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004652
    DOI: 10.1016/j.frl.2022.103277
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