SHORT- AND LONG-TERM EFFECTS OF THE 9/11 EVENT: THE INTERNATIONAL EVIDENCE

Vincent Richman (), Michael R. Santos () and John T. Barkoulas ()
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Vincent Richman: Sonoma State University, 1801 East Cotati Ave., Rohnert Park, CA 94928, USA
Michael R. Santos: Sonoma State University, 1801 East Cotati Ave., Rohnert Park, CA 94928, USA
John T. Barkoulas: Department of Finance & Quantitative Analysis, Georgia Southern University, Statesboro, GA 30460, USA

International Journal of Theoretical and Applied Finance (IJTAF), 2005, vol. 08, issue 07, 947-958

Abstract: This paper analyzes the short- and long-term effects of the September 11, 2001 terrorist attacks on a comprehensive sample of stock market indices from 33 industrial and emerging economies. From a finance-theoretic point of view, we employ the international capital asset pricing model (ICAPM) to analyze the incidence of the 9/11 event. Consistent with expectations, we document statistically negative short-term stock market reactions to the 9/11 event for 28 countries. More importantly, we find increases in the level of systematic risk for 10 stock markets which attest to the presence of negative permanent effects emanating for the 9/11 event. However, a great many capital markets (including the US, Canada, Japan, China, Russia, and the largest European economies) did not experience statistically significant increases in systematic risk in the post-9/11 period. The decisiveness of the evidence clearly points in the direction of resilience and flexibility of the world capital markets.

Keywords: International capital asset pricing model (ICAPM); systematic risk; terrorism; world index (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (5)

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DOI: 10.1142/S021902490500327X

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