دانلود مقاله ISI انگلیسی شماره 14506
ترجمه فارسی عنوان مقاله

جنگ با تروریسم و تاثیر آن بر نوسانات طولانی مدت بازارهای مالی

عنوان انگلیسی
The war on terror and its impact on the long-term volatility of financial markets
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
14506 2008 26 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : International Review of Financial Analysis, Volume 17, Issue 1, 2008, Pages 1–26

ترجمه کلمات کلیدی
موجک - نقاط شکست نوسانات - بازارهای مالی
کلمات کلیدی انگلیسی
Wavelets, Volatility breakpoints, financial markets ,
پیش نمایش مقاله
پیش نمایش مقاله  جنگ با تروریسم و تاثیر آن بر نوسانات طولانی مدت بازارهای مالی

In this article, we analyze how the U.S.' declaration of the war on terror and the subsequent invasion of Iraq has impacted long-term volatility of stock markets around the world. In doing so, we utilize two statistical techniques: wavelet-based variance analysis and a semi-parametric fractional autoregressive (SEMIFARIMA) model. Our sample comprises stock and commodity indices worldwide for the sample period January 2000–June 2006. Specifically, we consider four geographic regions: the Americas, Africa/Middle East, Europe, and Asia/Pacific. We conclude that political instability in the Middle East had its greatest impact on the volatility of financial markets around the beginning of the Iraq war, and it mostly hit developed markets (e.g., United States, United Kingdom, and Japan). Thereafter, for most sampled indices, volatility has exhibited a decreasing trend to reach eventually levels even lower than that observed at the beginning of our sample. An exception is Egypt's CMA and the Dow Jones AIG all commodities. We think that the latest political conflicts in the Middle East and their impact on the price of oil may be the most likely driving force of such volatility in those two indices. Specifically, among Egypt's main export products are petroleum and petroleum products.