 Ripple effects of the 2011 Japan earthquake on international stock marketsPourya Valizadeh, Berna Karali and Susana Ferreira Research in International Business and Finance, 2017, vol. 41, issue C, 556-576 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. Keywords: Abnormal returns; BHAR; Event study; Japan’s earthquake; Stock market (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:41:y:2017:i:c:p:556-576 DOI: 10.1016/j.ribaf.2017.05.002 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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