Department of Accounting and Finance, Athens University of Economics and Business, and Network for the Economic Analysis of Terrorism, 76 Patission Street, 10434 Athens, Greece.
Risk Anal. 2011 Jan;31(1):143-59. doi: 10.1111/j.1539-6924.2010.01473.x. Epub 2010 Aug 17.
The diffusion mechanism of terrorist shocks to third countries' stock market responses is explored by employing a Heckit model. Stock market response is broken down to (i) the direction of reaction and (ii) conditional on negative reaction, its magnitude. The analysis puts forward two behavioral factors (memory-based utility/availability heuristic, social amplification of risk), proxied by past terrorism record and terrorism risk concern as the shocks' diffusion channels. The findings are that the likelihood and the size of negative stock market reaction increase with terrorism record and risk concern. Additionally, weak evidence is uncovered for a mitigation of risk concern's impact by favorable macroeconomic stance. Furthermore, the impact of behavioral factors, especially over the magnitude of reaction, is robust when controlling for economic linkages. The latter are also significant predictors of the direction of stock market reaction, but not of its magnitude.
采用 Heckit 模型探讨了恐怖冲击向第三国股票市场反应的扩散机制。股票市场反应分为（i）反应方向和（ii）在负面反应的情况下，其幅度。该分析提出了两个行为因素（基于记忆的效用/可得性启发式、风险的社会放大），由过去的恐怖主义记录和恐怖主义风险担忧来代表冲击的扩散渠道。研究结果表明，随着恐怖主义记录和风险担忧的增加，负面股票市场反应的可能性和幅度也会增加。此外，还发现，有利的宏观经济立场并不能减轻风险担忧的影响。此外，当控制经济联系时，行为因素的影响（尤其是对反应幅度的影响）非常稳健。后者也是股票市场反应方向的重要预测因素，但不是反应幅度的重要预测因素。
