Ekonomická a finančná matematika
http://www.iam.fmph.uniba.sk/studium/efm/forum/

Seminár NBS 19.9.2012 - Michael Frömmel (Universiteit Gent)
http://www.iam.fmph.uniba.sk/studium/efm/forum/viewtopic.php?f=23&t=548
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Autor:  matus.senaj [ Pon Sep 17, 2012 9:42 am ]
Predmet príspevku:  Seminár NBS 19.9.2012 - Michael Frömmel (Universiteit Gent)

Dobrý deň,
rád by som Vás pozval na seminár odboru výskumu, ktorý sa uskutoční v stredu 19. septembra 2012 o 13:00 v zasadačke na ôsmom poschodí v budove NBS.

Michael Frömmel (Universiteit Gent, Belgium)
Terrorism and Jumps in Asset Prices


Abstract
The attacks on September 11, 2001 have shown that terrorist attacks can have a potentially large impact on global financial markets. However, it is unclear how terrorist attacks in different geopolitical regions can affect stock markets in other regions. Recently, Drakos (2010a) found evidence that trade and openness to the world economy can be a channel through which terrorist attacks are transmitted to other countries’ stock markets. In this paper we extend the analysis of Drakos by linking regional outward FDI of U.S. multinationals to stock market sensitivity of terrorist attacks in these regions. Using a broad distribution of attacks between 1998 and 2008, our analysis suggests that stock markets are more sensitive to attacks in regions which receive more FDI. Moreover, we find that this 'contagion' channel has only been present after the 9/11 attacks.


Účasť na seminári prosím potvrďte emailom na adrese matus.senaj@nbs.sk.

Prajem pekný deň,

Matúš Senaj
Odbor výskumu
Národná banka Slovenska
tel.: 02 5787 2935
e-mail: matus.senaj@nbs.sk
web: http://www.nbs.sk/sk/publikacie/vyskumne-studie
http://ideas.repec.org/f/pse317.html

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