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INFORMATIONAL EFFICIENCY AND THE REACTION TO TERRORISM: A FINANCIAL PERSPECTIVE

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Date Issued:
2016
Abstract/Description:
The purpose of this study is to measure the message terror organizations hope to convey using the financial markets as a proxy of measurement to determine patterns within the marketplace and the effects on the terrorists' ability to deliver a desired message due to the increased use of digital devices and access to instantaneous news, seen over the past decade. Using death count, geographic location, and event type, this study identified 109 attacks between 1985 and 2015 to be analyzed against 5 market indices and 5 securities. Measuring the effects within a 10-day sample window from the time of the attack (+ or - 5 days) using average abnormal returns, standard deviation, Sharpe Ratio and the initial reactions in the market place as a percentage of total attacks, the effects on average abnormal returns on the market proxies were measured on three levels; The entire sample period from 1985 to 2015; the first half of the sample period 1985-1999; and the second half of the sample period 2000-2015. Analyzing trends in abnormal returns and standard deviation, the results of the study were inconclusive.
Title: INFORMATIONAL EFFICIENCY AND THE REACTION TO TERRORISM: A FINANCIAL PERSPECTIVE.
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Name(s): Roland, Nicholas, Author
Sturm, Ray, Committee Chair
University of Central Florida, Degree Grantor
Type of Resource: text
Date Issued: 2016
Publisher: University of Central Florida
Language(s): English
Abstract/Description: The purpose of this study is to measure the message terror organizations hope to convey using the financial markets as a proxy of measurement to determine patterns within the marketplace and the effects on the terrorists' ability to deliver a desired message due to the increased use of digital devices and access to instantaneous news, seen over the past decade. Using death count, geographic location, and event type, this study identified 109 attacks between 1985 and 2015 to be analyzed against 5 market indices and 5 securities. Measuring the effects within a 10-day sample window from the time of the attack (+ or - 5 days) using average abnormal returns, standard deviation, Sharpe Ratio and the initial reactions in the market place as a percentage of total attacks, the effects on average abnormal returns on the market proxies were measured on three levels; The entire sample period from 1985 to 2015; the first half of the sample period 1985-1999; and the second half of the sample period 2000-2015. Analyzing trends in abnormal returns and standard deviation, the results of the study were inconclusive.
Identifier: CFH0000232 (IID), ucf:44672 (fedora)
Note(s): 2016-12-01
B.S.B.A.
College of Business Administration, Finance
Bachelors
This record was generated from author submitted information.
Subject(s): Communications
Terrorism Communications
Event Study
Financial Perspective
Financial Market Proxies
Financial Implications
Measuring Terrorist Communications
Persistent Link to This Record: http://purl.flvc.org/ucf/fd/CFH0000232
Restrictions on Access: public
Host Institution: UCF

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