Associate Professor in Finance – Faculty of Business Administration and Economics at Notre Dame University-Louaize (NDU), Dr. Hassan Hamadi, has concluded together with Dr. Charbel Bassil, Chairperson at the Department of Economics, FBAE a study on the impact of terrorism in the Organization of the Petroleum Exporting Countries (OPEC) on the return and volatility of oil prices. Funded by the National Council for Scientific Research (CNRS), the research has produced a peer reviewed paper co-authored by Dr. Charbel Bassil and published in the International Journal of Emerging Markets under the title: “Terrorism in Oil exporting countries on Crude Oil Returns and Volatility (01-07-16)”.
The research’s central conceit is using generalized autoregressive conditional heteroskedasticity (GARCH) models – a statistical model used to analyze different kinds of financial data – along with daily data from 1987 to 2015 to build a comprehensive picture of the effects of terror attacks on OPECs. The results reveal that terrorism reduces oil returns, and increase their volatility, with the impact differing based on the success of the attacks, their intensity and the associated targets. The analysis of these disparate elements and their effects on oil returns and volatility is what makes this research unique.