Terror attacks and market returns

This article’s main goal is to analyse and scale the impact of terror attacks on market returns. The analysis uniquely includes creating a new dataset that covers the number of terror attacks in Israel on a monthly basis. A wide variety of methodologies scale the extensive negative impact of the terror measure on market returns. The comprehensive analysis includes bootstrapping standard errors, impulse-response, and other methodologies that enhance the analysis. The results are significant both statistically and economically. The findings shed light on the severely adverse consequences of terror activities on capital markets by scaling the extent of the impact.