Changes in equity returns and volatility across different Australian industries following the recent terrorist attacks

Ramiah, B, Cam, M, Calabro, M, Maher, D and Shahab, G 2010, 'Changes in equity returns and volatility across different Australian industries following the recent terrorist attacks', Pacific-Basin Finance Journal, vol. 18, no. 1, pp. 64-76.


Document type: Journal Article
Collection: Journal Articles

Title Changes in equity returns and volatility across different Australian industries following the recent terrorist attacks
Author(s) Ramiah, B
Cam, M
Calabro, M
Maher, D
Shahab, G
Year 2010
Journal name Pacific-Basin Finance Journal
Volume number 18
Issue number 1
Start page 64
End page 76
Total pages 13
Publisher Elsevier BV
Abstract 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.
Keyword(s) terrorism
equity market
abnormal returns
non-parametric test
parametric test
systematic risk
Australia
DOI - identifier 10.1016/j.pacfin.2009.07.001
Copyright notice rown Copyright © 2009 Published by Elsevier B.V. All rights reserved.
ISSN 0927-538X
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