RESEARCH OF SOCIAL SCIENCES (SMC-PRIVATE) LIMITED(ROSS) & PAKISTAN SOCIAL SCIENCES REVIEW (PSSR) adheres to Creative Commons Attribution-Non Commercial 4.0 International License. The authors submitting and publishing in PSSR agree to the copyright policy under creative common license 4.0 (Attribution-Non Commercial 4.0 International license). Under this license, the authors published in PSSR retain the copyright including publishing rights of their scholarly work and agree to let others remix, tweak, and build upon their work non-commercially. All other authors using the content of PSSR are required to cite author(s) and publisher in their work. Therefore, RESEARCH OF SOCIAL SCIENCES (SMC-PRIVATE) LIMITED(ROSS) & PAKISTAN SOCIAL SCIENCES REVIEW (PSSR) follow an Open Access Policy for copyright and licensing.
How to Cite
Bidirectional Relationship between Terrorism and Pakistan Stock Market: Evidence from ARDL and Nonlinear ARDL Approaches
Abstract
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.
Authors
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
