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September 11 and time-varying beta of United States companies

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  • Taufiq Choudhry

Abstract

The tragic events of 11 September 2001 in the USA is said to have adversely affected the global economy and the financial markets around the world. This paper empirically investigates the effects of the terrorist attacks and the period after on the time-varying beta (risk) of a few companies in the USA. Daily data from 1991 to 2002 and the bivariate MA-GARCH model are applied to create the time-varying betas for the firms. Results indicate that September 11 events and the period after affected most of the US companies under investigation. The size and direction of the effect varies according to the firms. All companies did not experience an increase in their beta.

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  • Taufiq Choudhry, 2005. "September 11 and time-varying beta of United States companies," Applied Financial Economics, Taylor & Francis Journals, vol. 15(17), pages 1227-1242.
    • Handle: RePEc:taf:apfiec:v:15:y:2005:i:17:p:1227-1242
    DOI: 10.1080/09603100500358742
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    2. Douch, Mohamed & Essaddam, Naceur, 2011. "Short and Long-Term Effects of September 11 on Stock Returns: Evidence from U.S. Defense Firms," MPRA Paper 46529, University Library of Munich, Germany, revised Mar 2013.
    3. Ying-Sing LIU & Liza LEE, 2022. "Are Modifications in the ETF's Investment Performance and Risks during the COVID-19 Pandemic Event?," Review of Applied Socio-Economic Research, Pro Global Science Association, vol. 23(1), pages 05-17, June.
    4. Bruno S. Frey & Simon Luechinger & Alois Stutzer, 2007. "Calculating Tragedy: Assessing The Costs Of Terrorism," Journal of Economic Surveys, Wiley Blackwell, vol. 21(1), pages 1-24, February.
    5. Luc Savard, 2010. "Scaling up infrastructure spending in the Philippines: A CGE top-down bottom-up microsimulation approach," International Journal of Microsimulation, International Microsimulation Association, vol. 3(1), pages 43-59.
    6. Smales, Lee A., 2015. "Time-variation in the impact of news sentiment," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 40-50.
    7. Goodell, John W., 2020. "COVID-19 and finance: Agendas for future research," Finance Research Letters, Elsevier, vol. 35(C).
    8. Mnasri, Ayman & Nechi, Salem, 2016. "Impact of terrorist attacks on stock market volatility in emerging markets," Emerging Markets Review, Elsevier, vol. 28(C), pages 184-202.
    9. Mouncif HARABIDA & Bouchra RADI, 2020. "The Covid-19 Pandemic and the Moroccan Financial Market: An Event Study," International Journal of Applied Economics, Finance and Accounting, Online Academic Press, vol. 7(2), pages 90-96.
    10. Les Coleman, 2012. "Testing equity market efficiency around terrorist attacks," Applied Economics, Taylor & Francis Journals, vol. 44(31), pages 4087-4099, November.
    11. Wang, Albert Y. & Young, Michael, 2020. "Terrorist attacks and investor risk preference: Evidence from mutual fund flows," Journal of Financial Economics, Elsevier, vol. 137(2), pages 491-514.
    12. Tissaoui, Kais & Hkiri, Besma & Talbi, Mariem & Alghassab, Waleed & Alfreahat, Khaled Issa, 2021. "Market volatility and illiquidity during the COVID-19 outbreak: Evidence from the Saudi stock exchange through the wavelet coherence approaches," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    13. Nhan Huynh & Dat Nguyen & Anh Dao, 2021. "Sectoral Performance and the Government Interventions during COVID-19 Pandemic: Australian Evidence," JRFM, MDPI, vol. 14(4), pages 1-16, April.
    14. Petros Messis & Achilleas Zapranis, 2014. "Herding behaviour and volatility in the Athens Stock Exchange," Journal of Risk Finance, Emerald Group Publishing, vol. 15(5), pages 572-590, November.
    15. Islam, Raisul & Volkov, Vladimir, 2020. "Calm before the storm: an early warning approach before and during the COVID-19 crisis," Working Papers 2020-09, University of Tasmania, Tasmanian School of Business and Economics.
    16. Fatma Ben Moussa & Mariem Talbi, 2019. "Stock Market Reaction to Terrorist Attacks and Political Uncertainty: Empirical Evidence from the Tunisian Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 9(3), pages 48-64.

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