Pricing Protest: The Response of Financial Markets to Social Unrest

By Philip Barrett, Mariia Bondar, Sophia Chen, Mali Chivakul, Deniz O Igan

March 19, 2021

Preview Citation

Format: Chicago

Philip Barrett, Mariia Bondar, Sophia Chen, Mali Chivakul, and Deniz O Igan. Pricing Protest: The Response of Financial Markets to Social Unrest, (USA: International Monetary Fund, 2021) accessed September 19, 2024

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.

Subject: Economic sectors, Financial crises, Financial institutions, Financial markets, Income, National accounts, Stock markets, Stocks

Keywords: Abnormal returns, Asia and Pacific, Cumulative abnormal returns, Event study, Global, Income, Income group, Institutions, Market liberalization reform, Market model, Social unrest, Stock index, Stock markets, Stocks

Publication Details

Pages:

70
Volume:

---
DOI:

---
Issue:

---
Series:

Working Paper No. 2021/079
Stock No:

WPIEA2021079
ISBN:

9781513572765
ISSN:

1018-5941

FACTSHEETS

RESOURCES

TOPICS

Flagship Publications

Other Publications

IMF reports and publications by country

Regional Offices

All News

See Also

For Journalists

Press Center

RESOURCES

FLAGSHIPS

KEY SERIES

IMF NOTES

IMF Working Papers