Liquidity of Non-US and Energy Stocks Listed on the NYSE in the Aftermath of the Fukushima Daiichi Nuclear Incident

Jang-Chul Kim and Qing Su
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Jang-Chul Kim: Department of Accounting, Economics, and Finance, Haile College of Business, Northern Kentucky University, Highland Heights, KY 41099, USA
Qing Su: Department of Accounting, Economics, and Finance, Haile College of Business, Northern Kentucky University, Highland Heights, KY 41099, USA

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2024, vol. 27, issue 01, 1-25

Abstract: In this paper, we investigate the impact of the Fukushima Daiichi nuclear incident on the liquidity of non-US stocks in the Asia-Pacific region, specifically those listed on the New York Stock Exchange (NYSE). The Fukushima Daiichi nuclear incident occurred in March 2011, following a severe earthquake and tsunami in Japan, and its consequences have extended beyond the borders of Japan. Our study shows that non-US stocks from Japan are associated with significantly wider spreads and higher price impacts. Additionally, we find a similar negative liquidity effect for energy stocks listed on the NYSE and stocks from neighboring countries such as China and South Korea, primarily due to geographic proximity. However, we do not observe any significant changes in the liquidity of stocks from the remaining Asia-Pacific countries. Furthermore, we examine the duration of this negative shock and observe that the illiquidity of stocks from Japan persists for over three weeks. In contrast, the liquidity of energy stocks and stocks from China and South Korea recovers within one week following the incident.

Date: 2024
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DOI: 10.1142/S0219091524500085

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