Behaviors of Stocks and Fear Index from Terrorist Attacks: Empirical Evidence from SENSEX and NVIX

This study examines the impacts of domestic and counter-terrorist attacks on India’s securities markets after collecting time series data of SENSEX and NVIX during the period 1980-2015 for the empirical work. We employ the conditional volatility framework to estimate stock market volatility around t...

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Bibliographic Details
Published in:International Journal of Business and Economics 2019-09, Vol.18 (2), p.195-219
Main Author: Shaikh, Imlak
Format: Article
Language:English
Subjects:
Civilization
Consumption
Counterterrorism
Emerging markets
Equity
Heuristic
India securities market
International finance
Investments
Investor behavior
Market economies
NVIX
Rates of return
Securities markets
SENSEX
Social unrest
Stock exchanges
Studies
Terrorism
terrorist attacks
Volatility
volatility index
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Summary:This study examines the impacts of domestic and counter-terrorist attacks on India’s securities markets after collecting time series data of SENSEX and NVIX during the period 1980-2015 for the empirical work. We employ the conditional volatility framework to estimate stock market volatility around the terrorist events, presenting empirical results that corroborate earlier studies and report a significant impact of terrorist activities on investors’ sentiment. Stock market volatility remains volatile for pre- and post-terrorist events. This paper is the first empirical research investigating the impact of terrorist attacks on stock market performance in an emerging economy like India, such as stock returns and investors’ fear-gauge-index (NVIX). The implications of the study underpin a forward-looking direction on stock market volatility and investors’ behavior towards risky capital investment decisions.
ISSN:1607-0704