Jul

30

Checking dates of the eight major (suspected or proved) Al Qaeda terror attacks against either US or US allies, I was curious about the possibility they time attacks to coincide with the falling US stock market.

Here are the dates, along with S&P 500 emini futures total point change for 20 days. PR20 is point total 20 days counting back from three days prior to terror attack — i.e., (t-3)-(t-23). The theory is that it takes a few days to execute the attack after down market has occurred. PPR20 is the 20-day sum of the period before the one just prior to the attack (as control for current market climate):

    N Mean    StDev  SE Mean
pr 20        8  -21.50  49.31  17.43
ppr 20      8   29.12  27.43   9.70
Difference 8  -50.62  38.07  13.46

95% CI for mean difference: (-82.4537, -18.7963)
T-Test of mean difference = 0 (vs not = 0): T-Value = -3.76  P-Value = 0.007

Date           pr 20    ppr 20
06/29/07 -40.75   34.00 Glasgow airport/London car bomb
08/10/06    5.25   15.50 London Heathrow plot
07/07/05   -3.50   23.50 London Underground bombing
03/11/04    5.00     9.50 Madrid train bombing
05/12/03   51.25   79.00 Riyadh Compound bombing
12/21/01   -9.50   60.50  Richard Reid bomb plot
09/11/01  -82.00    0.25  WTC attacks
10/12/00  -97.75   10.75  USS Cole bombing

I used paired t-test to see if the difference between pr20 and ppr20 was not zero, and it's not:

Paired T for pr 20 - ppr 20

    N Mean    StDev  SE Mean
pr 20        8  -21.50  49.31  17.43
ppr 20      8   29.12  27.43   9.70
Difference 8  -50.62  38.07  13.46

95% CI for mean difference: (-82.4537, -18.7963)
T-Test of mean difference = 0 (vs not = 0): T-Value = -3.76  P-Value = 0.007

Only 3/8 pr20 periods were markedly down, so it's hard to say they target declines. But the significant pre-attack decline from prior might suggest the market sees them coming. 


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