英语论文网

major terrorist attack.We believe that markets can respond differently to the different attacksand that the variability in risk and returns differs signi?cantly across different sectors within an economy.Ourindustry analysis on how terrorism affects returns of industrial portfolios contributes to the debate of Yao,Gao
and Alles(2005)who only limited their model to?nancial and economic factors.Kim and In(2002)demonstrated that the Australian market is sensitive to international events.As such,the Australian Stock Exchange provides an ideal testing ground for our arguments.On the one hand,Australia'sgeographic isolation may project the image of aninvestment haven.Yet,Australia's strong ties with the United
States and the‘war on terror’may attract terroristactivity.Furthermore the Australian Stock Exchange wasamong the?rst markets to open immediately following 9/11.Chen and Siems(2004),Ito and Lee(2005),
Richman et al.(2005)and Worthington and Valadkhani(2005)showed that the Australian market reactednegatively to the September 11 terrorist attack.Using a long term regression analysis and assessing the
industry effects,Worthington and Valadkhani(2005)argue that only the Financial sector was negativelyaffected.Richman et al.(2005)showed a negative long term effect on the overall Australian market.On the
short term analysis of the impact of September 11,Chen and Siems(2004and Richman et al.(2005)arguethat the entire equity market fell.Our results support these two studies in that we do observe a negativeimpact on the Australian market following 9/11.Our contributions are as follows.Firstly,we identify precisely which industries in Australia were affected.Secondly,we look at how subsequent attacks impacted on these industries.Thirdly we modi?ed themethodologies used in the existing literature by excluding?rm speci?c information and using regression
analysis to reinforce our?ndings.Most of the existing literatures fail to exclude?rm speci?c information andthus report results which contain both the impact of terrorist attacks and other non terrorist components.Forinstance,Ito and Lee(2005)studied the impact of 9/11 and Bali bombings on both the domestic and
international airline demand.They do not observe any immediate downward spike but instead an ongoing
downshift in the Australian domestic and international airline demand,following September 11.They
explained that their results contain both the impact of 9/11 and the collapse of Ansett Australia.As for Balibombings,they document a decrease in the international demand only.Drakos(2004)argue that systematicrisk of major airline
1
companies increased post 9/11 but fails to demonstrate the same increment on theAustralian airline company(Qantas).Our conclusions support Drakos(2004)as the majority of the Australianindustries studied did not result in an increase in their systematic risk.However,we identi?ed certain sectorswith an increase in their systematic risk.We thus argue that one must be careful in generalising the?ndings ofDrakos(2004)as there are variations in systematic risk changes across industries.To the best of ourknowledge there is no current study that looks at the short term impact of 9/11 on other Australian industries.Hence the?rst objective of this paper is to bridge the gap between the current short term literatures on theeffects of September 11 on the Australian sectors.Furthermore,investors can use this as a guide to make their
investment d