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论文作者:留学生论文论文属性:硕士毕业论文 thesis登出时间:2010-12-07编辑:anterran点击率:5643
论文字数:15642论文编号:org201012071141342020语种:英语 English地区:澳大利亚价格:免费论文
关键词:equity returnsvolatilityterrorist attacksStock Exchange
Changes in equity returns and volatility across different
Australian industries following the recent terrorist attacks
Vikash Ramiah ⁎, Marie-Anne 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
留学论文代写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 findingsshow that systematic risk of certain sectors increased after the eventsof September 11 but remained unchanged for the other attacks.
Crown Copyright © 2009 Published by Elsevier B.V. All rights reserved.
JEL classification:
G1
G11
H56
Keywords:
Terrorism
Equity market
Abnormal returns
Non-parametric test
Parametric test
Systematic risk
Australia
Pacific-Basin Finance Journal 18 (2010) 64–76
⁎ 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 andWei (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 135industry equity indexes in the United States. The empirical evidence shows that September 11 had the mostinfluence on the US market with airline, hotel and leisure industries recording strong negative abnormalreturns while water, defence and telecommunications industries showing strong positive abnormal returns.More recently, Nikkinen et al. (2008) showthat the response of international markets to September 11, 20010927-538X/$ – see front matter. Crown Copyright https://www.51lunwen.org/© 2009 Published by Elsevier B.V. All rights reserved.
doi:10.1016/j.pacfin.2009.07.001
Contents lists available at ScienceDirect
Pacific-Basin Finance Journal
journal homepage: www.elsevi e r.com/locate/pacfin3.4. London
On Thursday 7th July 2005, London was subject to terrorist attacks. Due to our close ties with thewestern world, one would have thought that it may have had quite an impact on Australian stock market.Surprisingly enough, the Australian stock market's response to the attack was muted. The trading dayimmediately after the attack saw the Water sector produce an abnormal return of −1.44% (see Table 3,Column 8), and was the only industry to produce a significant result. The non-parametric t-statistic alsosupports the negative movement in the Water sector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。