نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری اقتصاد بین الملل، گروه علوم اقتصادی، دانشکده اقتصاد، مدیریت و علوم اداری، دانشگاه سمنان، سمنان، ایران

2 دانشیار اقتصاد، گروه علوم اقتصادی، دانشکده اقتصاد، مدیریت و علوم اداری، دانشگاه سمنان، سمنان، ایران

3 دانشجوی دکتری توسعه اقتصادی، گروه علوم اقتصادی، دانشکده اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران

https://doi.org/10.34785/J025.2022.014

چکیده

بازار سهام نقش مهم و حیاتی در تشکیل سرمایه و تجمیع سرمایه‌های کوچک، سرگردان و هدایت آن‌ها به سوی مسیرهای مطلوب در سیستم‌های اقتصادی یک کشور دارد. عوامل سیاسی مخصوصا فعالیت‌های تروریستی موجب ایجاد عدم اطمینان، کاهش اعتماد، افزایش درک ریسک، کاهش اعتماد سرمایه‌گذاری و تجارت خارجی، فرار سرمایه می‌گردد. لذا، حملات تروریستی منجر به کاهش سود شرکت و آشفتگی و ابهام در میان سرمایه‌گذاران، خروج سرمایه‌گذاران از بازار سهام، و افت بازده بازار سهام می‌شود. بنابراین بررسی ارتباط بین فعالیت‌های تروریستی و تاثیر آن بر بازده بازار سهام منطقه پر تنش خاورمیانه از اهمیت بالایی برخوردار است. از این‌رو، هدف تحقیق حاضر بررسی تاثیر تروریسم بر شاخص بازده بازار سهام در منطقه پر مخاطره خاورمیانه طی بازه زمانی 2008-2019 با رویکرد گشتاورهای تعمیم‌یافته است. نتایج تحقیق حاکی از این واقعیت می‌باشد که مطابق با انتظارات تئوریکی تحقیق، فعالیت‌های تروریستی تاثیر منفی و معنی‌داری بر بازده بازار سهام در کشورهای مذکور دارد. از سایر نتایج تحقیق، متغیرهای نرخ ارز واقعی و قیمت نفت تاثیر منفی و معنی‌دار بر بازده بازار سهام دارند، در حالی‌که متغیر نرخ رشد اقتصادی تاثیری مثبت و معنی‌دار بر بازده بازار سهام دارد.

کلیدواژه‌ها

موضوعات

Abadie, A., & Gardeazabal, J. (2003). The economic costs of conflict: A case study of the Basque country. American Economic Review, 93: 113–132.
Alam, A. (2013). Terrorism and stock market development: Causality evidence from Pakistan. Journal of Financial Crime, 20 (1): 116–128.
Arellano, M., & Bond, S. (1991). Some Test of Specification for Panel Data: Monte Carlo Evidence and Application to Employment Equations. Review of Economic Studies, 58: 277-297.
Arif, I., & Suleman, T. (2017). Terrorism and stock market linkages: An empirical study from a front-line state. Global Business Review, 18 (2): 365-378.
Asaad, Z. A., Marane, M. O., & Mustafa, H. M. (2020). The impact of Geopolitical Risks and the Human Development on Foreign Direct Investment Inflows in Iraq for the Period (2004-2018). Global Journal of Business and Economics, 9 (1).
Asaad, Z., & Marane, B. (2020). Corruption, terrorism and the stock market: The evidence from Iraq. The Journal of Asian Finance, Economics and Business (JAFEB), 7 (10): 629-639.
Baltagi, B. H. (2005). Econometric analysis of panel data. Third Edition, McGraw-Hill.
Baltagi, B. H. (1995). Econometric analysis of panel data. Wiley, New York.
Bhatta, M. (2009). Behavioral Finance a Discussion on Individual Investors Biases. Management Accountant, 44 (2).
Enders, W., Sandler, T. (2002). The effectiveness of antiterrorism policies: A Vector-antirecession-intervention analysis. Polit. Sci. Rev. 87 (4): 829–844.
Fathi, S., & Shahraki, K. (2011). The effect of terrorism on financial markets (Case study: Tehran Stock Exchange price index). Interdisciplinary Journal of Contemporary Research in Business, 3 (5): 249-255.
Farmanesh, L., Kazemi, T., Yanik, R., & Zawari Rezaei, A. (2021). Investigating the impact of property rights on stock market returns. The second international conference on new challenges and solutions in industrial engineering, management and accounting. [In Persian] https://data.worldbank.org/
Fathi, S., Googerdchian, A., Shahraki, K., & Ajam, A. (2016). Analyzing the Economic and Financial Impacts of Terrorism on Return of Tehran. Stock Exchange Price Index, 9 (33): 71-92. [In Persian]
Geyikci, U. B., & Tepeci, M. (2017). The impacts of the Russian plane crisis, the July 15th coup d’état attempt and terrorist attacks on the market values of the Istanbul stock exchange (ISE) tourism index. International Journal of Arts & Sciences, 10 (1): 109-120.
Global Terrorism Index (GTI). (2018). http://economicsandpeace.org/reports/. start.umd.edu/start/data, 2019
Greene, W. H., (2008). Econometric Analysis. sixth edition, New Jersey, Upper Saddle River: Pearson International.
Johnston, B. R., & Nedelescu, O. M. (2005). The impact of terrorism on financial markets. Journal of Financial Crime, 1: 7-25.
Kollias, C., Papadamou, S., & Stagiannis, A. (2011). Terrorism and capital markets: The effects of the Madrid and London bomb attacks. International Review of Economics & Finance, 20 (4): 532-541.
Malik, Z., & Zaman, K. (2013). Macroeconomic consequences of terrorism in Pakistan. Journal of Policy Modeling, 35: 1103–1123.
Markoulis, S., & Katsikides, S. (2020). The Effect of Terrorism on Stock Markets: Evidence from the 21st Century. Terrorism and Political Violence, 32 (5): 988–1010.
Ming, K. L., Jais, M., AbdRahim, R., & Che-Ahmed, A. (2018). Corruption and stock market development: Evidence from Asian countries. The Journal of Social Sciences Research, Special Issue 6: 357-362. https://doi.org/10.32861/jssr. spi6.357.362.
Moussa, F., & Talbi, M. (2019). Stock market reaction to terrorist attaches and political uncertainty: Empirical evidence from the Tunisian stock exchange. International Journal of Economics and Financial, 9 (3): 48-64
Mustaf, H. M. (2020). The Impact of Some Macroeconomic Variables in the General Index of the Iraqi Stock Exchange for the Period (2005-2018): An Empirical Study. Academic Journal of Nawroz University. (In press).
Naqvi, N. (2014). Karachi stock exchange: Role of the capital market in economic development. Retrieved from www.kse.com.pk.
Nguyen, A. P., & Enomoto, C. (2009). Acts of terrorism and their impacts on stock index returns and volatility: The cases of the Karachi and Tehran stock exchanges. International Business and Economics Research Journal, 8 (12): 75-86.
Nofsinger, J. R., & Kim, K. A. (2008). Behavioral finance in Asia. Pacific Basin Finance Journal, 16: 1-7.
Ramiah, V., & Calabro, M., & Maher, D. (2010). Changes in equity returns and volatility across different Australian industries following the recent terrorist attacks. Pacific-Basin Finance Journal, 18: 64-76.
Shahbaz, M., Shabbir, M. S., Malik, M. N., & Wolters, M. E. (2013). An analysis of a causal relationship between economic growth and terrorism in Pakistan. Economic Modelling, 35: 21–29.
Lashgari, Z., Samimi, S., Asadpour, A., & Asadpour, R. (2018). The relationship between gross domestic production (GDP) growth and the capital risk factors in the companies accepted in Tehran’s securities exchange market. Accounting and Auditing Research, 10 (38): 95-108. [In Persian]
Shaghaghi, F., Pakmaram, A., & Badavarnahandi, Y. (2020). The Effect of Institutional Quality Components on Stock Market Variables (Selected Islamic and Non-Islamic Countries). 25 (85): 137-166. [In Persian]
Shahraki, K. (2011). Investigating the effect of terrorism on financial markets (case study: indexes of Tehran Stock Exchange). master's thesis of Isfahan University. [In Persian]
Sheki, S., & Tawfighi, H. (2012). The effect of exchange rate fluctuations on the performance of the Iranian stock market. The second national conference on economic development strategies with a focus on regional planning. [In Persian]
Suri, A. (2012). Advanced econometrics with the use of Stata and Eviews. Cultural Publications, Tehran. [In Persian]
Vakilifard, H., & Ali, F. M. (2015). The effect of currency rate fluctuation on stock return of companies admitted in Tehran. Stock Exchange, 9 (30): 83-98. [In Persian]
Tanveer, , Shahzad, H., Muhammad, A., & Ajid, U. (2022). Impact of terrorism on stock market: Evidence from developed and developing markets. International Journal of Disaster Risk Reduction, 70, 15 February 2022, 102786.
Tavares, J. (2004). The open society assesses its enemies: shocks, disasters and terrorist attacks. Monetary Econ, 51 (5): 1039–1070.
Waweru, N., M. Munyoki, E., & Uliana, E. (2008). The effects of behavioral factors in investment decision-making: a survey of institutional investors operating at the Nairobi Stock Exchange. International Journal of Business and Emerging Markets, 1 (1): 24 – 41.