Coherent Identifier About this item: 20.500.12592/x3x31h

Pricing Protest: The Response of Financial Markets to Social Unrest

19 March 2021

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.

Authors

Format
Paper
Frequency
regular
ISBN
9781513572765
ISSN
1018-5941
Pages
70
Series
Working Paper No. 2021/079
StockNumber
WPIEA2021079