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Mr. Philip Barrett, Sophia Chen, Miss Mali Chivakul, and Ms. Deniz O Igan

spillovers during the Asian financial crisis, Guidolin and La Ferrara (2007) on the effects of the Angolan civil war and Raddatz (2011) on the effect of debt relief announcements). We estimate a market model to calculate the abnormal returns around the dates of social unrest events. We formally test the hypothesis that these abnormal returns are equal to 0 using various procedures. This approach allows us to reasonably attribute the abnormal returns to the event of interest rather than other factors which could be driving stock price movements. We find a significant

Mr. Philip Barrett, Sophia Chen, Miss Mali Chivakul, and Ms. Deniz O Igan
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.