Ripple effects of the 2011 Japan earthquake on international stock markets |
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| Institution: | 1. Cass Business School, City, University of London, Faculty of Finance, 106 Bunhill Row, EC1Y 8TZ London, United Kingdom;2. Cass Business School, City, University of London, Faculty of Actuarial Science and Insurance, 106 Bunhill Row, EC1Y 8TZ London, United Kingdom;1. University of Castilla-La Mancha, Department of Economics, Spain;2. Omer Halisdemir University, Department of Economics, Nigde, Turkey;3. University of Stirling, Department of Accounting and Finance, United Kingdom;1. Department of Child and Adolescent Psychiatry, National Center for Global Health and Medicine, Kohnodai Hospital, Ichikawa, Japan;2. Department of Adult Mental Health, National Institute of Mental Health, National Center of Psychiatry and Neurology, Kodaira, Japan;3. Department of Child and Adolescent Psychiatry, Aiiku Hospital, Minato, Japan;1. School of Economics and Management, Changsha University of Science & Technology, Changsha 410004, China;2. Xi’an Jiaotong University, Shaanxi, China;3. Shih Chien University, Kaohsiung, Taiwan;1. Department of Economics and Management of the University of Brescia, Italy;2. Faculty of Economics and Business Administration and Research Center SAFE, Goethe University Frankfurt, Germany;3. Department of Economics of Ca’Foscari University, Italy;4. Halle Institute for Economic Research, Germany |
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| Abstract: | This paper provides a comprehensive analysis of the impacts of Japan’s 2011 earthquake on 19 stock market sector returns in Japan and its trading partners both in the short and long run. Using an event study methodology, we find that the impact of this event was not limited to Japan or industries directly hit by the earthquake. Our short-run analysis indicates that all sector indices in Japan and many in its trading partners were affected by the earthquake. The direction of the impact on trading partners, however, was not the same for all sectors; while the earthquake adversely affected the majority of the sectors analyzed, some sectors benefited. Further, we find that the magnitude of the abnormal returns did not systematically vary across trading partners according to their shares in Japan’s trade flow. The long-run analysis reveals how the consequences of the earthquake unfolded beyond the event date. |
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| Keywords: | Abnormal returns BHAR Event study Japan’s earthquake Stock market |
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