We examine whether and how terrorist attacks influence the British and the French stock markets through investor sentiment. Using a quantile regression approach, our results indicate that terrorist attacks have adverse effects on the British and the French stock market returns under extreme market conditions. In terms of volatility, surprisingly, we find that these exogenous events decrease the volatility of the British (French) stock market under different market conditions (around the median and at the extreme top quantile). We also document a sizeable contribution of investor sentiment in explaining the effects of major terrorist attacks on the two European stock markets.

我们通过投资者情绪研究恐怖袭击是否以及如何影响英国和法国的股票市场。使用分位数回归方法，我们的结果表明，在极端市场条件下，恐怖袭击对英国和法国股市的回报有不利影响。在波动性方面，令人惊讶的是，我们发现这些外生事件降低了英国（法国）股票市场在不同市场条件下（围绕中位数和极端顶部分位数）的波动性。我们还记录了投资者情绪在解释重大恐怖袭击对两个欧洲股市的影响方面的巨大贡献。