Industry Effects of Recent Terrorist Attacks: Evidence From Singapore

In this paper, the impact of five recent terrorist attacks on equities listed on the Singapore Stock Exchange is examined. We analyse how these events affect the different sectors in Singapore, using the Global Industry Classification Standard. Employing a variety of parametric and non-parametric tests, the relationship between stock returns for equities listed in these sectors and terrorist attacks are analysed. The empirical evidence shows significant short-term negative abnormal returns around the September 11 attacks and, to a lesser extent, the Bali, London and Mumbai bombings. Furthermore, some weak positive equity responses in the long run were found in the Bali, London and Mumbai bombings, while no effect was found from the Madrid attack on the Singaporean market. The results show that there is evidence of a varied impact on the systematic risk of some of the sectors, for each of the attacks.