An Empirical Investigation of the Short Term and Long Term Impact of Recent International Terrorist Attacks on the Japanese Equity Market

52 Pages Posted: 15 Aug 2008

See all articles by Vikash Ramiah

Vikash Ramiah

RMIT University - School of Economics, Finance and Marketing; Financial Research Network (FIRN)

Tony Naughton (Deceased)

RMIT University - School of Economics, Finance and Marketing; Financial Research Network (FIRN)

Terrence A. Hallahan

Victoria University

John A. Anderson

City University London - Sir John Cass Business School

Date Written: August, 14 2008

Abstract

In this paper, the impact of five recent terrorist attacks on equities listed on the Japanese Stock Exchange is examined. We analyse how these events affect the different sectors in Japan using the Global Industry Classification Standard. Using parametric and non-parametric tests, we investigate the relationship between stock returns for equities listed in these sectors and terrorist attacks. The empirical evidence shows significant short-term negative abnormal returns around the September 11 attacks and to a lesser extent, the London and Bali Bombings. There is also evidence of a weak positive equity response to the Bali bombing, and a weak negative response to the Madrid attack in the Japanese market. We document negative industry abnormal returns as high as 9.67% in response to the September 11 attack. Our findings show that systematic risk of certain sectors increased after the events of September 11, but remained unchanged for the other attacks.

Keywords: Terrorism, Equity Market, Abnormal Returns, Non-Parametric test, Japan

JEL Classification: G10, G14

Suggested Citation

Ramiah, Vikash and Naughton (Deceased), Tony and Hallahan, Terrence A. and Anderson, John A., An Empirical Investigation of the Short Term and Long Term Impact of Recent International Terrorist Attacks on the Japanese Equity Market (August, 14 2008). 21st Australasian Finance and Banking Conference 2008 Paper, Available at SSRN: https://ssrn.com/abstract=1225882 or http://dx.doi.org/10.2139/ssrn.1225882

Vikash Ramiah

RMIT University - School of Economics, Finance and Marketing ( email )

Business
Level 12, 239 Bourke Street
Melbourne, Victoria 3000
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Tony Naughton (Deceased)

RMIT University - School of Economics, Finance and Marketing ( email )

Business
Level 12, 239 Bourke Street
Melbourne, Victoria 3000
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Terrence A. Hallahan

Victoria University ( email )

School of Accounting and Finance
300 Flinders Street
Melbourne, 8001
Australia

John A. Anderson (Contact Author)

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

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