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Changes in equity returns and volatility across different
Australian industries following the recent terrorist attacks ikash Ramiah?,Marie-Annhttps://www.51lunwen.org/

e Cam,Michael Calabro,
David Maher,Shahab Ghafouri School of Economics,Finance and Marketing,RMIT University,GPO Box 2476 V,Melbourne,3001,Australia
a r t i c l e i n f o

a b s t r a c t
Article history:
Received 16 May 2007
Accepted 30 July 2009
Available online 13 August 2009
We investigate the impact of?ve recent terrorist attacks on equities
listed on the Australian Stock Exchange.Following the Global Industry
Classi?cation Standard,we analyse how these events affect thedifferent sectors in Australia.Using parametric and non-parametrictests,we investigate the relationship between stock returns for quities listed in these sectors and terrorist attacks.We reportsigni?cant short term negative abnormal returns around theSeptember 11 attacks and to a lesser extent,the Madrid and LondonbombingAs.Our evidence shows a weak positive equity response to theBali bombing,and no response from the Mumbai attack in theAustralian market.We also document negative industry abnormalreturns as high as 37.30%on the day in the Utilities sector.Our?ndingsshow that systematic risk of certain sectors increased after the events
of September 11 but remained unchanged for the other attacks.
Crown Copyright?2009 Published by Elsevier B.V.All rights reserved.
JEL classi?cation:
G1
G11
H56
Keywords:
Terrorism
Equity market
Abnormal returns
Non-parametric test
Parametric test
Systematic risk
Australia
?Corresponding author.Tel.:+61 3 9925 5828;fax:+61 3 9925 5986.
E-mail address:vikash.ramiah@rmit.edu.au(V.Ramiah).
1.Introduction
Chan and Wei(1996)postulates that political risks affect the risk and return of capital markets and in this
paper we investigate whether political events like terrorism activities affect foreign capital markets.Cam
(2006)provides a detailed analysis of the impact of the September 11,Bali and Madrid bombings on 135
industry equity indexes in the United States.The empirical evidence shows that September 11 had the most
in?uence on the US market with airline,hotel and leisure industries recording strong negative abnormal
returns while water,defence and telecommunications industries showing strong positive abnormal returns.
More recently,Nikkinen et al.(2008)show that the response of international markets to September 11,2001
0927-538X/$–see front matter.Crown Copyright?2009 Published by Elsevier B.V.All rights reserved.
doi:10.1016/j.pac?n.2009.07.001
j o u r n a l h o m e p a g e:w w w.e l s ev i e r.c o m/l o c a t e/p a c f i nterrorist attack differs according to the degree of integration of each region with the international market.In
our paper we adopt and augment the approach used by Cam(2006),and look at the impact ofhttps://www.51lunwen.org/recentterrorist attacks on the Australian Equity Market.Following Cam(2006),we do not assume that investors necessarily react negatively to terrorist attacks.Equity holders tend to respond negatively to such events only when they perceive an increase in the expectedcosts of terrorist activities.We argue that market players may well not react if they do not perceive that theattack has an impact on expected returns.It is possible that stock markets do not react negatively on dayssurrounding a本论文由英语论文网提供整理，提供论文代写，英语论文代写，代写论文，代写英语论文，代写留学生论文，代写英文论文，留学生论文代写相关核心关键词搜索。