Changes in equity returns and volatility across different Australian industries following the recent terrorist attacks
| Autor: | Vikash Ramiah, Michael Calabro, Shahab Ghafouri, David Maher, Marie-Anne Cam |
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| Přispěvatelé: | Ramiah, Vikash, Cam, Marie Anne, Calabro, Michael, Maher, David, Ghafouri, Shahad |
| Rok vydání: | 2010 |
| Předmět: |
Economics and Econometrics
Equity risk Abnormal returns Australia Equity market Non-parametric test Parametric test Systematic risk Terrorism Financial economics Global Industry Classification Standard Equity (finance) social sciences Stock exchange Economics Volatility (finance) Finance Stock (geology) |
| Zdroj: | Pacific-Basin Finance Journal. 18:64-76 |
| ISSN: | 0927-538X |
| DOI: | 10.1016/j.pacfin.2009.07.001 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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