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Bidirectional Relationship between Terrorism and Pakistan Stock Market: Evidence from ARDL and Nonlinear ARDL Approaches
This study used to find the effect of terrorism attacks over the Overall Pakistan Stock market for the period from January-2005 to December 2019. This study used all the companies registered in the Pakistan stock exchange. By employing ARDL technique this study statistically proved the existence of long-run relationship between the variable as there is co-integration between them. Diagnostic tests are also found to be satisfactory. Goodness of Fit R2 of the model is 12.6% which is due to the impact of other variables on the stock return. NARDL is also applied and the results indicated that stock market reacts to terrorism activities in the short term due to increases and decreases in terrorism activities. However, no long run asymmetry is observed. This study couldn’t include international stock markets due to time and financial constraints. Future research can included other countries’ data and compare the results with this study.
Syed Shafqat Abbas
PhD Scholar, Department of Commerce, Bahauddin Zakariya University, Multan, Punjab, Pakistan
Prof. Dr. Rehana Kouser
Professor, Department of Commerce, Bahauddin Zakariya University, Multan, Punjab, Pakistan