International Journal of Theoretical and Applied Finance (Impact Factor: 0.74). 11/2005; 08(07):947-958. DOI: 10.1142/S021902490500327X
Source: RePEc

ABSTRACT This paper analyzes the short- and long-term effects of the September 11, 2001 terrorist attacks on a comprehensive sample of stock market indices from 33 industrial and emerging economies. From a finance-theoretic point of view, we employ the international capital asset pricing model (ICAPM) to analyze the incidence of the 9/11 event. Consistent with expectations, we document statistically negative short-term stock market reactions to the 9/11 event for 28 countries. More importantly, we find increases in the level of systematic risk for 10 stock markets which attest to the presence of negative permanent effects emanating for the 9/11 event. However, a great many capital markets (including the US, Canada, Japan, China, Russia, and the largest European economies) did not experience statistically significant increases in systematic risk in the post-9/11 period. The decisiveness of the evidence clearly points in the direction of resilience and flexibility of the world capital markets.

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    • "Richman et al. (2005) showed a negative long term effect on the overall Australian market. On the short term analysis of the impact of September 11, Chen and Siems (2004) and Richman et al. (2005) argue that the entire equity market fell. Our results support these two studies in that we do observe a negative impact on the Australian market following 9/11. "
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    ABSTRACT: We investigate the impact of five recent terrorist attacks on equities listed on the Australian Stock Exchange. Following the Global Industry Classification Standard, we analyse how these events affect the different sectors in Australia. Using parametric and non-parametric tests, we investigate the relationship between stock returns for equities listed in these sectors and terrorist attacks. We report significant short term negative abnormal returns around the September 11 attacks and to a lesser extent, the Madrid and London bombings. Our evidence shows a weak positive equity response to the Bali bombing, and no response from the Mumbai attack in the Australian market. We also document negative industry abnormal returns as high as 37.30% on the day in the Utilities sector. Our findings show that systematic risk of certain sectors increased after the events of September 11 but remained unchanged for the other attacks.
    Pacific-Basin Finance Journal 01/2010; 18(1-18):64-76. DOI:10.1016/j.pacfin.2009.07.001 · 0.55 Impact Factor
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    ABSTRACT: The Oslo Index measures the attitude of the Israeli people toward the peace process with the Palestinians. In this study we tested the relationship between monthly changes in the Oslo Index and stock returns in Israel during the period 1994 – 2007. Five major findings emerged from the study: (1) There is a significant positive relationship between monthly changes in the Oslo Index and monthly returns. (2) Peace events have no significant impact on stock returns. (3) The above positive relationship is stronger for large cap stocks than for small cap stocks. (4) Sectors such as insurance and investments are more sensitive to changes in the Oslo Index. (5) The positive relationship between the index and returns is higher for the Palestine Securities Exchange than for the Tel Aviv Stock Exchange.
    International Research Journal of Finance and Economics 01/2009; 23(23):1450-2887.
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