Event Study and Impulse Indicator Saturation Analysis to Assess Reaction of Terrorist and Political Events: Evidence from Oil and Gas Sector of Pakistan
The objective of this study is twofold, first, to assess the impact of
terrorist attacks and political events on returns and volatility oil and gas
sector of Karachi Stock Exchange from the period of 2004 to 2014.
Second, to compare the results of these events applying event study
methodology, event dummy analysis and impulse indicator saturation.
Results indicate that the oil and gas sector reacts on the occurrence of
terrorism and political events and the results of two methodologies
event study and event dummy analysis are almost similar. However,
impulse indicator saturation is able to provide better results in
comparison to event study and event dummy analysis because as it
captures all breaks and co-breaks within a sample period,
moreover it clearly helps in defining rebounding period of the market.
JEL Classification Codes: G12, G14
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