Purpose

Stock markets are highly sensitive to foreign and domestic events. Stock exchange markets react promptly to news and are known as an indicator of good and bad trading conditions. Terrorist attacks leave adverse effects on the economy and cause stock price volatility and, consequently, stock return volatility. Therefore, this paper aims to analyze the spatial effects of terrorism on stock market returns in the Middle East from 2008 to 2019.

Design/methodology/approach

This paper uses analytical research design and estimates spatial model. Before estimating the spatial model, the spillover effects were confirmed for the spatial autoregressive model using Moran’s diagnostic test for spatial dependence, Geary’s C test and Akaike statistic.

Findings

The results of this study on spatial panel data and based on spatial autoregressive estimator indicated that terrorism and associated neighborhood effects had a negative impact on stock returns in Middle East countries. Also, the corruption index and oil price negatively affected stock market return in these countries, while the democracy index had a positive effect on stock market returns. According to the results, to achieve a high and stable stock market return, it is recommended that high-level consultation is pursued with leaders of involved countries to reduce the devastating effects of terrorist activities, increase political and economic stability, attract stockholders to stock markets and spend corresponding incomes developing the infrastructures in this sector in countries of this region.

Originality/value

Most of the studies have investigated the impact of terrorism on the stock market returns at the national or provincial level. However, the effect of terrorism on the stock market index in the tense region of the Middle East, which is the center of terrorist attacks in the world, has not been dealt with by considering the spatial econometric effects. Thus, to the best of the authors’ knowledge, this research is a first attempt to study the impact of terrorism on the stock market returns in Middle East countries using the spatial econometric approach.

中文翻译：

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恐怖主义对中东国家股市回报的空间影响分析

目的

股票市场对国内外事件高度敏感。证券交易所对新闻做出迅速反应，被认为是交易状况好坏的指标。恐怖袭击对经济造成不利影响，导致股票价格波动，从而导致股票回报波动。因此，本文旨在分析2008年至2019年恐怖主义对中东股市回报的空间影响。

设计/方法论/途径

本文采用分析研究设计和估计空间模型。在估计空间模型之前，使用 Moran 的空间依赖性诊断检验、Geary 的 C 检验和 Akaike 统计量确认了空间自回归模型的溢出效应。

发现

这项基于空间自回归估计的空间面板数据研究结果表明，恐怖主义和相关的邻里效应对中东国家的股票回报产生了负面影响。此外，腐败指数和油价对这些国家的股市回报产生负面影响，而民主指数对股市回报产生积极影响。根据研究结果，为实现股市高而稳定的回报，建议与有关国家领导人进行高层磋商，以减少恐怖活动的破坏性影响，增加政治和经济稳定，吸引股东进入股市并将相应收入用于本地区国家该领域基础设施的建设。

原创性/价值

大多数研究调查了恐怖主义对国家或省级股市回报的影响。然而，作为全球恐怖袭击中心的中东紧张地区，恐怖主义对股市指数的影响尚未考虑空间计量效应。因此，据作者所知，本研究是利用空间计量经济学方法研究恐怖主义对中东国家股市回报影响的首次尝试。