Kavetsos, Georgios and Szymanski, Stefan (2008) Olympic Games, terrorism and their impact on the London and Paris stock exchanges. Revue d’Economie Politique, 118 (2). pp. 189-206. ISSN 0373-2630
Full text not available from this repository.Abstract
This paper examines the impact of the announcement of the 2012 Olympic Games and the July 7th London terrorist attacks on the indices of the London and Paris Stock Exchanges. Using a GARCH ( 1,1 ) − t specification, we are able to show that both events are estimated to have the expected sign, whereas the degree of significance varies depending on the specification of the terrorism dummy variable used.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.cairn.info/revue-d-economie-politique.h... |
| Additional Information: | © 2008 Cairn.info |
| Divisions: | Social Policy |
| Subjects: | H Social Sciences > HG Finance H Social Sciences > HV Social pathology. Social and public welfare. Criminology |
| JEL classification: | C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C50 - General G - Financial Economics > G1 - General Financial Markets > G10 - General |
| Date Deposited: | 23 Feb 2012 09:11 |
| Last Modified: | 11 Dec 2024 23:25 |
| URI: | http://eprints.lse.ac.uk/id/eprint/41996 |
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