ABSTRACT

This paper studies the impact of terrorist attacks on the returns and volatility of Colombian stock returns using an event study methodology in a GARCH model framework. It also investigates the impact of the 2016 peace accord between the Colombian government and the FARC, an army of leftist narco-guerrillas, on the same characteristics of the financial market. Results show that the COLCAP index, a market-capitalization weighted index that includes the 25 most liquid stocks listed in the Colombia’s stock exchange, has a significant negative abnormal return of 0.1% 1 day after a bombing attack occurs, that continues to accumulate down to −0.18% 3 days after. Furthermore, events associated with the peace accord, exhibit a significant positive abnormal return of 0.58% on the event date that continues to accumulate up to 1.02% the day after. In addition, cumulative abnormal volatility (CAV) is statistically insignificant both after terrorist attacks and peace-associated events.

摘要

本文使用 GARCH 模型框架中的事件研究方法研究恐怖袭击对哥伦比亚股票收益的回报和波动性的影响。它还调查了 2016 年哥伦比亚政府与左翼毒枭游击队军队 FARC 之间的和平协议对金融市场相同特征的影响。结果显示，COLCAP 指数是一种市值加权指数，包括在哥伦比亚证券交易所上市的 25 只流动性最强的股票，在爆炸袭击发生 1 天后，该指数的显着负异常回报率为 0.1%，并继续累积下降至-0.18% 3 天后。此外，与和平协议相关的事件在事件发生之日表现出 0.58% 的显着正异常回报，并在第二天继续累积至 1.02%。