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Publication Details
AFRICAN RESEARCH NEXUS
SHINING A SPOTLIGHT ON AFRICAN RESEARCH
economics, econometrics and finance
Stock returns and volatility following the September 11 attacks: Evidence from 53 equity markets
International Review of Financial Analysis, Volume 17, No. 1, Year 2008
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Description
September 11 attacks matter, and why not? Given that globalization has integrated financial markets, the magnitudes of the effect of the September 11 attacks on global markets are expected to be pervasive. We used data from 53 equity markets to investigate the short term impact of the September 11 attacks on markets' returns and volatility. Our empirical findings indicate that the impact of the attacks resulted in significant increases in volatility across regions and over the study period. However, stock returns experienced significant negative returns in the short-run but recovered quickly afterwards. Nevertheless, we find that the impact of the attacks on financial markets varied across regions. The implication here is that the less integrated regions (e.g., Middle East and North Africa) are with the international economy, the less exposed they are to shocks. © 2007 Elsevier Inc. All rights reserved.
Authors & Co-Authors
Nikkinen, Jussi
Finland, Vaasa
Vaasan Yliopisto
Omran, Mohammed M.
Egypt, Alexandria
Arab Academy for Science, Technology and Maritime Transport
Sahlström, Petri
Finland, Oulu
Oulun Yliopisto
Äijö, Janne
Finland, Vaasa
Vaasan Yliopisto
Statistics
Citations: 170
Authors: 4
Affiliations: 3
Identifiers
Doi:
10.1016/j.irfa.2006.12.002
ISSN:
10575219
Study Locations
Multi-countries