Impact of terrorist attacks on stock market volatility in emerging markets

We use an event study methodology alongside an improved bootstrapping test to evaluate the impact of terrorist attacks on the volatility of stock markets in 12 MENA countries, and test for regional financial integration. Results show that the impact of terrorist attacks on financial markets' volatility lasts about 20 trading days, which is considered to be long compared to the term effect of similar events in developed markets. Moreover, we find evidence of regional financial integration. Our robustness check shows that the bootstrapping approach is more robust, and that theoretical p-values might be misleading if underlying assumptions are violated.