Some might be frightened, but unless you set a firecracker off next to their cage they won't be hurt by it. Depends on the individual whether they'll care about the sound or not. Keep in mind, most parrots live in regions of the world where they'd regularly experience thunder and may be instinctually not overly concerned about such loud types of noises. I'm also fairly certain parrots do not have extremely sensitive hearing like dogs and in fact have their ear holes covered by feathers which must muffle noise to some degree! Kiwi sleeps right through them on 4th of July and NYE. Even when neighbors are shooting them off very close by. My parents have parrots too who couldn't care less about fireworks either. At most the first pop might elicit an annoyed ruffle of the feathers or grumpy noise about being woken up but thats about it (with my bird and the birds I grew up around anyways).