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Contribution Details
Type | Bachelor's Thesis |
Scope | Discipline-based scholarship |
Title | Rational expectation in recent armed conflicts: impact of events on worldwide stock market indices |
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Institution | University of Zurich |
Faculty | Faculty of Business, Economics and Informatics |
Number of Pages | 91 |
Date | 2023 |
Abstract Text | In this thesis, the impact of recent armed conflicts on worldwide stock market indices is examined. The aim is to provide additional support to the findings of Schneider and Troeger (2006). This study focuses on two current conflicts, the Russian-Ukraine conflict and the ChinaTaiwan conflict. Using a one-year rolling GARCH(1,1) model, the reactions of 14 stock market indices to key events in these conflicts are analyzed. The findings indicate that conflict-related news tends to frequently impact North American markets, with European markets showing strong reactions to the developments of the Russia-Ukraine conflict. Asian markets appear to be less sensitive to geopolitical signals. While international stock markets are generally adversely affected by conflict situations, certain industry indices manage to thrive. Overall, the findings of this thesis support the idea of rational expectations in recent armed conflicts. |
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