1Department of Economic, College of Business Administration, Taibah University, Medinah, Saudi Arabia
2Department of Economic, Faculty of Economic Sciences and Management of Sousse, Sousse University, Sousse, Tunisia
3Department of Finance, Community College, Taibah University, Medinah, Saudi Arabia
4Department Finance, Higher Institute of Informatics and Management of Kairouan, Kairouan University, Kairouan, Tunisia
International Journal of Business and Risk Management.
2019,
Vol. 2 No. 1, 9-15
DOI: 10.12691/ijbrm-2-1-2
Copyright © 2019 Science and Education PublishingCite this paper: Lamia Jamel, Abdelkader Derbali. Damascus Securities Exchange Weighted Index volatilities and Terrorist attacks in Syria.
International Journal of Business and Risk Management. 2019; 2(1):9-15. doi: 10.12691/ijbrm-2-1-2.
Correspondence to: Abdelkader Derbali, Department of Finance, Community College, Taibah University, Medinah, Saudi Arabia. Email:
derbaliabdelkader@outlook.frAbstract
This paper examines the interaction between terrorism events and finance, focusing for the first time on the Damascus Securities Exchange Weighted Index return volatility of Syria besieged by terrorist attacks. To do so, we employ three multivariate GARCH models (GARCH (1,1), EGARCH (1,1) and TGARCH (1,1)) to examine the presence of daily anomalies created by terrorist attacks over the period from March 01, 2011 to October 29, 2015. We find terrorism risk is a significant factor in explaining the volatility of stock returns in the case of DSE Weighted Index, which should be taken into account when modeling volatility. From the empirical results of GARCH (1,1), EGARCH (1,1) and TGARCH (1,1) models, we can show the existence of a significance and positive effect for the return at (t-1) on the return volatility of DSE Weighted Index in a threshold of 1%. Additionally, we found that terrorist attacks have a negative impact on the DSE returns. This impact is significant with a significance level of 1% in the mean and variance equations. Also, we can show the persistence of volatility in the case of Damascus Securities Exchange Weighted Index.
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