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Article
Publication date: 6 November 2017

Syed Jawad Hussain Shahzad, Peter Josef Stauvermann, Ronald Ravinesh Kumar and Tanveer Ahmad

This study aims to examine the impact of terrorism on return and systematic risk of Pakistan’s equity industries. Daily data from 1 January 2000 to 31 December 2014 for 12…

Abstract

Purpose

This study aims to examine the impact of terrorism on return and systematic risk of Pakistan’s equity industries. Daily data from 1 January 2000 to 31 December 2014 for 12 industries based on the specific types of companies listed on Karachi Stock Exchange are used for the empirical analysis.

Design/methodology/approach

A multiplicative (additive) term is introduced in the standard capital asset pricing model to examine the change in systematic risk (industry returns) in response to the terrorist activities. The authors use the multiscale beta approach (Yamada, 2005) and the maximal overlap discrete wavelet transform (MODWT) to test the heterogeneous market hypothesis.

Findings

Terrorism activities increase the systematic risk for most of the industries and the negative impact on returns of banks and the financial industry. It is noted that terrorism positively impacts (increases) the industrial systematic risk mainly in short-run (between two and four days-time horizon).

Originality/value

The paper examines the impact of terrorism on a broad list of industries’ (banks, basic materials, chemicals, construction, consumer goods, consumer services, financials, industrials, minerals, oil and gas, textile and utilities) risk and return in Pakistan, using the multiscale beta approach (Yamada, 2005) and the MODWT methods.

Details

Accounting Research Journal, vol. 30 no. 4
Type: Research Article
ISSN: 1030-9616

Keywords

Article
Publication date: 1 February 2016

Vikash Ramiah, Thomas Morris, Imad Moosa, Michael Gangemi and Louise Puican

This paper aims to investigate the impact of 75 announcements of environmental policies on British equities over the period 2003 to 2012. In particular, the research has the…

1423

Abstract

Purpose

This paper aims to investigate the impact of 75 announcements of environmental policies on British equities over the period 2003 to 2012. In particular, the research has the following specific objectives: finding out whether there is wealth creation/destruction for investors as a result of the announcements of green policies and identifying changes in risk structure following the introduction of green policies.

Design/methodology/approach

Using event study methodology and non-parametric tests, the authors attempt to find out whether announcements of environmental/sustainability policies are value constructive or destructive for equity investors. The CAPM is fitted with interaction variables to measure the change in systematic risk following announcements.

Findings

The results show that the UK market is particularly sensitive to domestic, international and nuclear announcements. Cumulative abnormal returns in the range of 30-40 per cent were recorded in certain sectors. Consistent with the emerging literature, the authors observe that environmental policies induce changes in the systematic risk of businesses, both in the short run and the long run.

Originality/value

To the best of authors’ knowledge, the literature does not provide any answer as to how the risk and return of British equity portfolios change following the announcement of green policies in the aftermath of the Kyoto Protocol on climate change. Furthermore, the literature does not differentiate among various categories of announcements (domestic, international and nuclear). Therefore, this paper bridges the gap in the literature on these two grounds.

Details

Managerial Auditing Journal, vol. 31 no. 2
Type: Research Article
ISSN: 0268-6902

Keywords

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