Stock returns and volatility following the September 11 attacks: Evidence from 53 equity markets |
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Authors: | Jussi Nikkinen,Petri Sahlströ m |
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Affiliation: | a Department of Accounting and Finance, University of Vaasa, P.O. Box 700, 65101 Vaasa, Finland b College of Management and Technology, Arab Academy for Science and Technology, P.O. Box 1029 Alexandria, Egypt c Department of Accounting and Finance, University of Oulu, P.O. Box. 4600, Oulu FIN-90014, Finland |
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Abstract: | September 11 attacks matter, and why not? Given that globalization has integrated financial markets, the magnitudes of the effect of the September 11 attacks on global markets are expected to be pervasive. We used data from 53 equity markets to investigate the short term impact of the September 11 attacks on markets' returns and volatility. Our empirical findings indicate that the impact of the attacks resulted in significant increases in volatility across regions and over the study period. However, stock returns experienced significant negative returns in the short-run but recovered quickly afterwards. Nevertheless, we find that the impact of the attacks on financial markets varied across regions. The implication here is that the less integrated regions (e.g., Middle East and North Africa) are with the international economy, the less exposed they are to shocks. |
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Keywords: | G12 G14 G15 |
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