Pricing Protest: The Response of Financial Markets to Social Unrest

Author/Editor:

Philip Barrett ; Mariia Bondar ; Sophia Chen ; Mali Chivakul ; Deniz O Igan

Publication Date:

March 19, 2021

Electronic Access:

Free Download. Use the free Adobe Acrobat Reader to view this PDF file

Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

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:

Frequency:

regular

English

Publication Date:

March 19, 2021

ISBN/ISSN:

9781513572765/1018-5941

Stock No:

WPIEA2021079

Pages:

70

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