The Impact of 9/11 on the Persistence of Financial Return Volatility of Marine Firms

Anthony C Homan ()
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Anthony C Homan: 10803 Cogswell Place, Fairfax Station, VA 22039, USA.

Eastern Economic Journal, 2009, vol. 35, issue 1, 83 pages

Abstract: This paper analyzes the effects of the terror attacks of 9/11 on a set of listed marine operator equities. The paper uses GARCH models to compare volatility before 9/11 and after 9/11 to determine whether there was a systematic change in the persistence of volatility. The results of the paper indicate that the persistence of volatility increased following 9/11. The increased persistence implies that the negative effects from increased market risk die out more slowly. If, as expected, society prefers less risk persistence to more, the results suggest that policy actions that reduced these effects would be welfare enhancing. Having quantifiable measures of the secondary impacts of terrorism is valuable since it is challenging to measure primary effects of terror threat levels and changes to those levels from policy actions. Eastern Economic Journal (2009) 35, 71–83. doi:10.1057/palgrave.eej.9050044

Date: 2009
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