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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
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Copyright (c) 2023 Fikri Irfan Adristi, Abdul Moin
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Kaminsky, G. L., Reinhart, C. M., & Végh, C. A. (2003). The Unholy Trinity of Financial Contagion. Journal of Economic Perspectives, 17(4), 51–74. https://doi.org/10.1257/089533003772034899
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Lee, K.-J., Lu, S.-L., & Shih, Y. (2018). Contagion Effect of Natural Disaster and Financial Crisis Events on International Stock Markets. Journal of Risk and Financial Management, 11(2), 16. https://doi.org/10.3390/jrfm11020016
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Mehrani, K., Rahnamay Roodposhti, F., Nekomaram, H., & Saeedi, A. (2016). Behavioral trading strategies and investor sentiment: Empirical research in Tehran stock exchange (TSE). Indonesian Capital Market Review, 8(2), 94–109. https://doi.org/10.21002/icmr.v8i2.5708
Memdani, L., & Shenoy, G. (2019). Impact of terrorism on stock markets across the world and stock returns: An event study of Taj attack in India. Journal of Financial Crime, 26(3), 793–807. https://doi.org/10.1108/JFC-09-2018-0093
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Puah, C., Khresna, R., & Wong, K. (2015). Revisiting Stock Market Integration Pre-Post Subprime Mortgage Crisis: Insight From BRIC Countries. Economics and Finance in Indonesia, 61(2), 120–130. http://efi.ui.ac.id/index.php/efi/article/view/507
Rajwani, S., & Mukherjee, J. (2013). Is the Indian stock market cointegrated with other Asian markets? Management Research Review, 36(9), 899–918. https://doi.org/10.1108/MRR-06-2012-0141
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