Pricing Protest: The Response of Financial Markets to Social Unrest
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Summary:
Using a new daily index of social unrest, we provide systematic evidence on the negative impact of social unrest on stock market performance. An average social unrest episode in an typical country causes a 1.4 percentage point drop in cumulative abnormal returns over a two-week event window. This drop is more pronounced for events that last longer and for events that happen in emerging markets. Stronger institutions, particularly better governance and more democratic systems, mitigate the adverse impact of social unrest on stock market returns.
Series:
Working Paper No. 2021/079
Subject:
Economic sectors Financial crises Financial institutions Financial markets Income National accounts Stock markets Stocks
Frequency:
regular
English
Publication Date:
March 19, 2021
ISBN/ISSN:
9781513572765/1018-5941
Stock No:
WPIEA2021079
Pages:
70
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