IDEAS home Printed from https://ideas.repec.org/a/imx/journl/v14y2019ipneap583-599.html
   My bibliography  Save this article

Terrorism and Latin-American Stocks Markets

Author

Listed:
  • Nicolás S. Magner

    (Universidad Finis Terrae, Chile)

  • Cinthia K. Roa

    (Universidad Finis Terrae, Chile)

Abstract

Este artículo investiga los efectos de los grandes ataques terroristas de los últimos 20 años en un conjunto de acciones que cotizan en los mercados bursátiles latinoamericanos. Utilizando el modelo de mercado de capitales, calculamos rendimientos anormales durante el día de los ataques terroristas para 115 acciones que cotizan en 6 países de América Latina. En este sentido, apreciamos diferentes reacciones entre países, donde Brasil, Perú y Chile tienen una reacción significativa del terrorismo en el mercado. Estos resultados promueven la diversificación internacional y el uso de esta pérdida para evitar pérdidas significativas de capital. Sin embargo, los resultados están limitados por la validez del modelo de mercado de capitales. Este documento tiene importantes implicaciones para los inversores internacionales y sus estrategias de gestión de riesgos de inversión. A pesar de la frecuencia de los eventos terroristas, este es el primer trabajo que aborda una amplia gama de estos en los países de América Latina. La principal conclusión es que hay un efecto negativo de los acontecimientos terroristas en los mercados latinoamericanos, pero este efecto es mixto; hay un impacto negativo y significativo de los ataques terroristas estadounidenses y un efecto débil y no significativo cuando los ataques ocurren fuera de los Estados Unidos.

Suggested Citation

  • Nicolás S. Magner & Cinthia K. Roa, 2019. "Terrorism and Latin-American Stocks Markets," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 583-599, Agosto 20.
    • Handle: RePEc:imx:journl:v:14:y:2019:i:pnea:p:583-599
    as

    Download full text from publisher

    File URL: http://www.remef.org.mx/index.php/remef/article/view/424
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Kearney, Colm, 2012. "Emerging markets research: Trends, issues and future directions," Emerging Markets Review, Elsevier, vol. 13(2), pages 159-183.
    2. Alberto Abadie & Javier Gardeazabal, 2003. "The Economic Costs of Conflict: A Case Study of the Basque Country," American Economic Review, American Economic Association, vol. 93(1), pages 113-132, March.
    3. Salinger, Michael, 1992. "Standard Errors in Event Studies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(1), pages 39-53, March.
    4. Cristhian Mellado & Diego Escobari, 2015. "Virtual integration of financial markets: a dynamic correlation analysis of the creation of the Latin American Integrated Market," Applied Economics, Taylor & Francis Journals, vol. 47(19), pages 1956-1971, April.
    5. Boehmer, Ekkehart & Masumeci, Jim & Poulsen, Annette B., 1991. "Event-study methodology under conditions of event-induced variance," Journal of Financial Economics, Elsevier, vol. 30(2), pages 253-272, December.
    6. Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
    7. Charles J. Corrado, 2011. "Event studies: A methodology review," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 51(1), pages 207-234, March.
    8. Bhattacharya, Utpal & Daouk, Hazem & Jorgenson, Brian & Kehr, Carl-Heinrich, 2000. "When an event is not an event: the curious case of an emerging market," Journal of Financial Economics, Elsevier, vol. 55(1), pages 69-101, January.
    9. Arin, K. Peren & Ciferri, Davide & Spagnolo, Nicola, 2008. "The price of terror: The effects of terrorism on stock market returns and volatility," Economics Letters, Elsevier, vol. 101(3), pages 164-167, December.
    10. Walter Enders & Todd Sandler & Khusrav Gaibulloev, 2011. "Domestic Versus Transnational Terrorism: Data, Decomposition, and Dynamics," Journal of Peace Research, Peace Research Institute Oslo, vol. 48(3), pages 319-337, May.
    11. Corrado, Charles J. & Zivney, Terry L., 1992. "The Specification and Power of the Sign Test in Event Study Hypothesis Tests Using Daily Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(3), pages 465-478, September.
    12. A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March.
    13. Eduardo Sandoval & Macarena Soto, 2016. "Integrated Markets Of Latin American: A Cointegration Analysis, Mercado Integrado Latinoamericano: Un Analisis De Cointegracion," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 9(2), pages 1-17.
    14. Nikkinen, Jussi & Omran, Mohammed & Sahlstrom, Petri & Aijo, Janne, 2006. "Global stock market reactions to scheduled U.S. macroeconomic news announcements," Global Finance Journal, Elsevier, vol. 17(1), pages 92-104, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Sebastien Bradley & Estelle Dauchy & Makoto Hasegawa, 2018. "Investor valuations of Japan’s adoption of a territorial tax regime: quantifying the direct and competitive effects of international tax reform," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 25(3), pages 581-630, June.
    2. Corrado, Charles J. & Truong, Cameron, 2008. "Conducting event studies with Asia-Pacific security market data," Pacific-Basin Finance Journal, Elsevier, vol. 16(5), pages 493-521, November.
    3. Ding, Li & Lam, Hugo K.S. & Cheng, T.C.E. & Zhou, Honggeng, 2018. "A review of short-term event studies in operations and supply chain management," International Journal of Production Economics, Elsevier, vol. 200(C), pages 329-342.
    4. Florian Manz & Birgit Müller & Dirk Schiereck, 2020. "The pricing of European non-performing real estate loan portfolios: evidence on stock market evaluation of complex asset sales," Journal of Business Economics, Springer, vol. 90(7), pages 1087-1120, August.
    5. Bayly, Nicholas & Breunig, Robert & Wokker, Chris, 2023. "Female Board Representation and Corporate Performance: A Review and New Estimates for Australia," IZA Discussion Papers 16617, Institute of Labor Economics (IZA).
    6. Maul, D. & Schiereck, D., 2017. "The bond event study methodology since 1974," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 80723, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    7. Koppenberg, Maximilian & Hirsch, Stefan & Finger, Robert, 2023. "Effects of the debate on glyphosate's carcinogenic risk on pesticide producers' share prices," Ecological Economics, Elsevier, vol. 212(C).
    8. Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "An Event Study Analysis of Political Events, Disasters, and Accidents for Chinese Tourists to Taiwan," Sustainability, MDPI, vol. 10(11), pages 1-77, November.
    9. Gokhale, Jayendra & Brooks, Raymond M. & Tremblay, Victor J., 2014. "The effect on stockholder wealth of product recalls and government action: The case of Toyota's accelerator pedal recall," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(4), pages 521-528.
    10. Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "An Event Study of Chinese Tourists to Taiwan," Tinbergen Institute Discussion Papers 18-003/III, Tinbergen Institute.
    11. Aktas, Nihat & de Bodt, Eric & Cousin, Jean-Gabriel, 2007. "Event studies with a contaminated estimation period," Journal of Corporate Finance, Elsevier, vol. 13(1), pages 129-145, March.
    12. Jan Bartholdy & Dennis Olson & Paula Peare, 2007. "Conducting Event Studies on a Small Stock Exchange," The European Journal of Finance, Taylor & Francis Journals, vol. 13(3), pages 227-252.
    13. Chaudhry, Naukhaiz & Roubaud, David & Akhter, Waheed & Shahbaz, Muhammad, 2018. "Impact of terrorism on stock markets: Empirical evidence from the SAARC region," Finance Research Letters, Elsevier, vol. 26(C), pages 230-234.
    14. Xiong, Tao & Zhang, Wendong & Chen, Chen-Ti, 2021. "A Fortune from misfortune: Evidence from hog firms’ stock price responses to China’s African Swine Fever outbreaks," Food Policy, Elsevier, vol. 105(C).
    15. Kiesel, Florian & Ries, Jörg M. & Tielmann, Artur, 2017. "Reprint of “The impact of mergers and acquisitions on shareholders' wealth in the logistics service industry”," International Journal of Production Economics, Elsevier, vol. 194(C), pages 261-277.
    16. Henryk Gurgul & Milena Suliga & Tomasz Wojtowicz, 2012. "Responses of the Warsaw Stock Exchange to the U.S. macroeconomic data announcements," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 12, pages 41-59.
    17. Truzaar Dordi & Olaf Weber, 2019. "The Impact of Divestment Announcements on the Share Price of Fossil Fuel Stocks," Sustainability, MDPI, vol. 11(11), pages 1-20, June.
    18. Ana Paula Serra, 2002. "Event Study Tests: A brief survey," FEP Working Papers 117, Universidade do Porto, Faculdade de Economia do Porto.
    19. Najam, Najam Ul Sabeeh & Mehmood, Arshad Mehmood, 2019. "The economic cost of terrorism and natural disasters: A deeper analysis of the financial market markets of Pakistan," MPRA Paper 92278, University Library of Munich, Germany.
    20. Kobayashi, Ayami & Bremer, Marc, 2022. "Lessons from mergers and acquisitions of regional banks in Japan: What does the stock market think?," Journal of the Japanese and International Economies, Elsevier, vol. 64(C).

    More about this item

    Keywords

    Estudio de eventos; terrorismo; reservas de América Latina;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • O54 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Latin America; Caribbean

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:imx:journl:v:14:y:2019:i:pnea:p:583-599. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ricardo Mendoza (email available below). General contact details of provider: https://www.remef.org.mx/index.php/remef/index .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.