Fear from uncertainty: An event study of Khashoggi and stock market returns

This study investigates whether uncertain events affect stock market outcomes. To perform a natural experiment, we measure the effect of the uncertain event of Jamal Khashoggi’s disappearance on the Saudi Stock Exchange. We use traditional event-study methodologies to analyse the data. The findings...

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Bibliographic Details
Published inJournal of behavioral and experimental finance Vol. 23; pp. 54 - 58
Main Authors Bash, Ahmad, Alsaifi, Khaled
Format Journal Article
LanguageEnglish
Published Elsevier B.V 01.09.2019
Subjects
Event-study methodology
Financial risk
Jamal Khashoggi
Stock returns
C22
Jamal Khashoggi
Financial risk
G10
Event-study methodology
G15
Stock returns
G14
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ISSN2214-6350
2214-6350
DOI10.1016/j.jbef.2019.05.004

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Summary:This study investigates whether uncertain events affect stock market outcomes. To perform a natural experiment, we measure the effect of the uncertain event of Jamal Khashoggi’s disappearance on the Saudi Stock Exchange. We use traditional event-study methodologies to analyse the data. The findings indicate that this event supports a downward trend in cumulative abnormal returns across all companies, implying a negative effect of uncertainty on stock returns.
ISSN:2214-6350
2214-6350
DOI:10.1016/j.jbef.2019.05.004