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Short- And Long-Term Effects Of The 9/11 Event: The International Evidence

Author

Listed:
  • VINCENT RICHMAN

    (Sonoma State University, 1801 East Cotati Ave., Rohnert Park, CA 94928, USA)

  • MICHAEL R. SANTOS

    (Sonoma State University, 1801 East Cotati Ave., Rohnert Park, CA 94928, USA)

  • JOHN T. BARKOULAS

    (Department of Finance & Quantitative Analysis, Georgia Southern University, Statesboro, GA 30460, USA)

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.

Suggested Citation

  • Vincent Richman & Michael R. Santos & John T. Barkoulas, 2005. "Short- And Long-Term Effects Of The 9/11 Event: The International Evidence," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(07), pages 947-958.
    • Handle: RePEc:wsi:ijtafx:v:08:y:2005:i:07:n:s021902490500327x
    DOI: 10.1142/S021902490500327X
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    References listed on IDEAS

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    1. Markus Glaser & Martin Weber, 2005. "September 11 and Stock Return Expectations of Individual Investors," Review of Finance, Springer, vol. 9(2), pages 243-279, June.
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    Cited by:

    1. El Ouadghiri, Imane & Peillex, Jonathan, 2018. "Public attention to “Islamic terrorism” and stock market returns," Journal of Comparative Economics, Elsevier, vol. 46(4), pages 936-946.
    2. Corbet, Shaen & Gurdgiev, Constantin & Meegan, Andrew, 2018. "Long-term stock market volatility and the influence of terrorist attacks in Europe," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 118-131.
    3. Robinson, Justin & Glean, Adrian & Moore, Winston, 2018. "How does news impact on the stock prices of green firms in emerging markets?," Research in International Business and Finance, Elsevier, vol. 45(C), pages 446-453.
    4. Omar, Ayman M.A. & Lambe, Brendan J & Wisniewski, Tomasz Piotr, 2021. "Perceptions of the threat to national security and the stock market," Journal of Economic Behavior & Organization, Elsevier, vol. 186(C), pages 504-522.

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