September 11 and time-varying beta of United States companies

Taufiq Choudhry

Applied Financial Economics, 2005, vol. 15, issue 17, 1227-1242

Abstract: The tragic events of 11 September 2001 in the USA is said to have adversely affected the global economy and the financial markets around the world. This paper empirically investigates the effects of the terrorist attacks and the period after on the time-varying beta (risk) of a few companies in the USA. Daily data from 1991 to 2002 and the bivariate MA-GARCH model are applied to create the time-varying betas for the firms. Results indicate that September 11 events and the period after affected most of the US companies under investigation. The size and direction of the effect varies according to the firms. All companies did not experience an increase in their beta.

Date: 2005
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DOI: 10.1080/09603100500358742

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