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Olympic Games, terrorism and their impact on the London and Paris stock exchanges

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

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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
Library of Congress subject classification: H Social Sciences > HG Finance
H Social Sciences > HV Social pathology. Social and public welfare. Criminology
Journal of Economic Literature Classification System: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C50 - General
G - Financial Economics > G1 - General Financial Markets > G10 - General
Sets: Departments > Social Policy
Collections > Economists Online
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 23 Feb 2012 09:11
URL: http://eprints.lse.ac.uk/41996/

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