The Impact of 9/11 on the Persistence of Financial Return Volatility of Marine Firms
AbstractThis 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
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Palgrave Macmillan in its journal Eastern Economic Journal.
Volume (Year): 35 (2009 Winter)
Issue (Month): 1 ()
Contact details of provider:
Web page: http://www.palgrave-journals.com/
Postal: Palgrave Macmillan Journals, Subscription Department, Houndmills, Basingstoke, Hampshire RG21 6XS, UK
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Elizabeth Gale).
If references are entirely missing, you can add them using this form.