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August 23, 2023
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November 22, 2023
Published
November 28, 2023
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Abstract

Objectives ─ This research aims to examine the long-term and short-term dynamic relationships of the major stock market indices in Lebanon (BLSI), Israel (TA35), Jordan (AMGNRLX), Saudi Arabia (TASI), and Indonesia (IHSG) due to the impact of the ammonium nitrate explosion. (NH4NO3) in Beirut, Lebanon.


Method ─ This research used samples after the explosion of ammonium nitrate (NH4NO3) in Beirut, Lebanon, from 10 August 2020 to 17 December 2020. Long-term and short-term dynamic relationships due to the impact of the ammonium nitrate (NH4NO3) explosion in Beirut, Lebanon were tested using the Johansen Cointegration Test and Granger Causality Test methods.


Findings ─ The results show that: (1) There is a cointegration relationship in the return of the country stock market index in Lebanon (BLSI), Israel (TA35), Jordan (AMGNRLX), Saudi Arabia (TASI), and Indonesia (IHSG) after the explosion; (2) there is no bi-directional causality relationship or unidirectional relationship between benchmark variables, that is Return BLOM Stock Index (BLSI) with the Return TA-35 (TA35), Return Amman SE General (AMGNRLX), Return Tadawul All Share Index (TASI), and Return Indeks Harga Saham Gabungan (IHSG) variable after the explosion event.


Originality ─ This paper presents a novelty with a study of events that link human events and capital market indices.

Keywords

Cointegration dynamic relationship ammonium nitrate (NH4NO3) explosion country stock market index stock market return

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This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Author Biography

Fikri Irfan Adristi, Department of Management, Universitas Islam Indonesia, Yogyakarta, Indonesia

Fikri Irfan Adristi is a Managing Editor at Selekta Manajemen: Jurnal Mahasiswa Bisnis & Manajemen. He has research interests including:
`1.Algorithmic Trading
2.Econometrics & Machine Learning
3.Financial Economics
4.Political Economics

How to Cite
Adristi, F. I., & Moin, A. (2023). Long-term and short-term dynamic relationships on the country Stock Market Index due to the impact of explosion of Ammonium Nitrate (NH4NO3) in Beirut, Lebanon: An event study analysis on the Stock Market Index of countries in The Middle East and the country Stock Market Index in Indonesia. Jurnal Siasat Bisnis, 27(2), 235–253. https://doi.org/10.20885/jsb.vol27.iss2.art8
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