Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2025.
(EL)
The research examines the impact of geopolitical risk on stock market returns,
focusing on the conflict between Israel and Lebanon in October 2024. The event study
methodology is used, analyzing nine stock market indices from the Middle East,
Turkey, and North Africa. The analysis centers on the short and medium-term horizon,
evaluating abnormal returns, as well as cumulative abnormal returns, and, by extension,
assessing the sensitivity and resilience of markets to external shocks. The findings
support that the markets of Turkey, Israel, and Morocco experienced significant
negative abnormal returns on the day the conflict began, indicating investor's risk
aversion. The robustness of these findings is then tested using non-parametric methods,
confirming a short-term impact on returns after the event. Furthermore, the cross-sectional regressions conducted reveal that in the first days after the event, a country's
economic strength (GDP) is positively related to its market's resilience to geopolitical
risks. Furthermore, countries with a trade surplus are negatively affected by geopolitical
risk. Additionally, countries that have developed diplomatic relations with Israel
exhibited negative cumulative abnormal returns both after the event and in the short
term. This thesis provides information on the effects of geopolitical risks on markets
specifically in the context of armed conflicts.
(EN)
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Previous issue date: 2025
(EN)
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IordanidouDespoinaMsc2025.pdf: 832492 bytes, checksum: a9ebdef0d738f6fe2063d3730f19638b (MD5)
(EN)
Submitted by ΔΕΣΠΟΙΝΑ ΙΟΡΔΑΝΙΔΟΥ (
[email protected]) on 2025-02-24T16:28:38Z
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license_rdf: 701 bytes, checksum: 42fd4ad1e89814f5e4a476b409eb708c (MD5)
IordanidouDespoinaMsc2025.pdf: 832492 bytes, checksum: a9ebdef0d738f6fe2063d3730f19638b (MD5)
(EN)
University of Macedonia
