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

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  • Anthony C Homan

    (10803 Cogswell Place, Fairfax Station, VA 22039, USA.)

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

Suggested Citation

  • Anthony C Homan, 2009. "The Impact of 9/11 on the Persistence of Financial Return Volatility of Marine Firms," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 35(1), pages 71-83.
    • Handle: RePEc:pal:easeco:v:35:y:2009:i:1:p:71-83
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    Cited by:

    1. Essaddam, Naceur & Karagianis, John M., 2014. "Terrorism, country attributes, and the volatility of stock returns," Research in International Business and Finance, Elsevier, vol. 31(C), pages 87-100.
    2. Benjamin M. Blau & Todd G. Griffith & Derek Larsen & Ryan J. Whitby, 2022. "Corporate lobbying and the value of firms: The case of defense firms and the 9/11 terrorist attacks," International Review of Finance, International Review of Finance Ltd., vol. 22(4), pages 759-769, December.
    3. Pouliasis, Panos K. & Papapostolou, Nikos C. & Kyriakou, Ioannis & Visvikis, Ilias D., 2018. "Shipping equity risk behavior and portfolio management," Transportation Research Part A: Policy and Practice, Elsevier, vol. 116(C), pages 178-200.
    4. Su-Han Woo & Hee-Seok Bang & Sally Martin & Kevin X. Li, 2013. "Evolution of research themes in Maritime Policy & Management—1973--2012," Maritime Policy & Management, Taylor & Francis Journals, vol. 40(3), pages 200-225, May.

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