Terrorism in OPEC countries and oil prices
International Journal of Emerging Markets
ISSN: 1746-8809
Article publication date: 29 November 2018
Abstract
Purpose
The purpose of this paper is to examine the impact of terrorism in the Organization of the Petroleum Exporting Countries (OPEC) on the return and volatility of world price of oil.
Design/methodology/approach
GARCH models and daily data from 1987 till 2015 will be used.
Findings
The empirical results reveal that terrorism in the OPEC affects positively oil returns and negatively its volatility. Results also show that the different characteristics of the attacks are likely to have different impact on the return and volatility of oil prices. In overall terms, terrorism has a much larger positive impact on the return of oil prices and negative impact on its volatility if it targets the oil industry in the OPEC. This marginal effect is even greater if those attacks were successful.
Originality/value
The distinguishing feature of this paper is that the authors use a framework that takes into account different attributes for terrorism the success of the attacks, the intensity of the attacks and the associated targets.
Keywords
Acknowledgements
This research was funded by the Lebanese National Council for Scientific Research (CNRS). In this regard, the authors would like to express gratitude for their financial support. The authors thank three anonymous reviewers for their insightful comments and suggestions.
Citation
Bassil, C., Hamadi, H. and Bteich, M. (2018), "Terrorism in OPEC countries and oil prices", International Journal of Emerging Markets, Vol. 13 No. 6, pp. 1732-1750. https://doi.org/10.1108/IJoEM-11-2017-0493
Publisher
:Emerald Publishing Limited
Copyright © 2018, Emerald Publishing Limited