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Ripple effects of the 2011 Japan earthquake on international stock markets

Author

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  • Valizadeh, Pourya
  • Karali, Berna
  • Ferreira, Susana

Abstract

This paper provides a comprehensive analysis of the impacts of Japan’s 2011 earthquake on 19 stock market sector returns in Japan and its trading partners both in the short and long run. Using an event study methodology, we find that the impact of this event was not limited to Japan or industries directly hit by the earthquake. Our short-run analysis indicates that all sector indices in Japan and many in its trading partners were affected by the earthquake. The direction of the impact on trading partners, however, was not the same for all sectors; while the earthquake adversely affected the majority of the sectors analyzed, some sectors benefited. Further, we find that the magnitude of the abnormal returns did not systematically vary across trading partners according to their shares in Japan’s trade flow. The long-run analysis reveals how the consequences of the earthquake unfolded beyond the event date.

Suggested Citation

  • Valizadeh, Pourya & Karali, Berna & Ferreira, Susana, 2017. "Ripple effects of the 2011 Japan earthquake on international stock markets," Research in International Business and Finance, Elsevier, vol. 41(C), pages 556-576.
    • Handle: RePEc:eee:riibaf:v:41:y:2017:i:c:p:556-576
    DOI: 10.1016/j.ribaf.2017.05.002
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    More about this item

    Keywords

    Abnormal returns; BHAR; Event study; Japan’s earthquake; Stock market;
    All these keywords.

    JEL classification:

    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming

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