IDEAS home Printed from https://ideas.repec.org/a/eee/finana/v17y2008i1p27-46.html
   My bibliography  Save this article

Stock returns and volatility following the September 11 attacks: Evidence from 53 equity markets

Author

Listed:
  • Nikkinen, Jussi
  • Omran, Mohammad M.
  • Sahlstrom, Petri
  • Aijo, Janne

Abstract

No abstract is available for this item.

Suggested Citation

  • Nikkinen, Jussi & Omran, Mohammad M. & Sahlstrom, Petri & Aijo, Janne, 2008. "Stock returns and volatility following the September 11 attacks: Evidence from 53 equity markets," International Review of Financial Analysis, Elsevier, vol. 17(1), pages 27-46.
    • Handle: RePEc:eee:finana:v:17:y:2008:i:1:p:27-46
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1057-5219(06)00100-1
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. King, Mervyn A & Wadhwani, Sushil, 1990. "Transmission of Volatility between Stock Markets," The Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 5-33.
    2. Aggarwal, Reena & Inclan, Carla & Leal, Ricardo, 1999. "Volatility in Emerging Stock Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(1), pages 33-55, March.
    3. Arshanapalli, Bala & Doukas, John & Lang, Larry H. P., 1995. "Pre and post-October 1987 stock market linkages between U.S. and Asian markets," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 57-73, May.
    4. Jones, Charles M. & Lamont, Owen & Lumsdaine, Robin L., 1998. "Macroeconomic news and bond market volatility," Journal of Financial Economics, Elsevier, vol. 47(3), pages 315-337, March.
    5. Sandeep Patel & Asani Sarkar, 1998. "Stock market crises in developed and emerging markets," Research Paper 9809, Federal Reserve Bank of New York.
    6. A. G. Malliaris & Jorge L. Urrutia, 2005. "The International Crash of October 1987: Causality Tests," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 16, pages 251-262, World Scientific Publishing Co. Pte. Ltd..
    7. Arshanapalli, Bala & Doukas, John, 1993. "International stock market linkages: Evidence from the pre- and post-October 1987 period," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 193-208, February.
    8. Schwert, G William, 1990. "Stock Volatility and the Crash of '87," The Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 77-102.
    9. Schwert, G William, 1989. " Why Does Stock Market Volatility Change over Time?," Journal of Finance, American Finance Association, vol. 44(5), pages 1115-1153, December.
    10. Engle, Robert F. & Mustafa, Chowdhury, 1992. "Implied ARCH models from options prices," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 289-311.
    11. Choudhry, Taufiq, 1996. "Stock market volatility and the crash of 1987: evidence from six emerging markets," Journal of International Money and Finance, Elsevier, vol. 15(6), pages 969-981, December.
    12. Mark T. Hon & Jack Strauss & Soo‐Keong Yong, 2004. "Contagion in financial markets after September 11: myth or reality?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 27(1), pages 95-114, March.
    13. Mark J. Flannery & Aris A. Protopapadakis, 2002. "Macroeconomic Factors Do Influence Aggregate Stock Returns," The Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 751-782.
    14. Nikkinen, Jussi & Omran, Mohammed & Sahlstrom, Petri & Aijo, Janne, 2006. "Global stock market reactions to scheduled U.S. macroeconomic news announcements," Global Finance Journal, Elsevier, vol. 17(1), pages 92-104, September.
    15. Jian Yang & James Kolari & Insik Min, 2003. "Stock market integration and financial crises: the case of Asia," Applied Financial Economics, Taylor & Francis Journals, vol. 13(7), pages 477-486.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Yunus, Nafeesa, 2023. "Long-run and short-run impact of the U.S. economy on stock, bond and housing markets: An evaluation of U.S. and six major economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 211-232.
    2. Lee, Chingnun & Shie, Fu Shuen & Chang, Chiao Yi, 2012. "How close a relationship does a capital market have with other such markets? The case of Taiwan from the Asian financial crisis," Pacific-Basin Finance Journal, Elsevier, vol. 20(3), pages 349-362.
    3. Madhuri Malhotra & M. Thenmozhi & Arun Kumar Gopalaswamy, 2011. "Evidence on Changes in Time Varying Volatility around Bonus and Rights Issue Announcements," Working Papers 2011-061, Madras School of Economics,Chennai,India.
    4. Yang, Lixiong & Lee, Chingnun & Shie, Fu Shuen, 2014. "How close a relationship does a capital market have with other markets? A reexamination based on the equal variance test," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 198-226.
    5. Shogbuyi, Abiodun & Steeley, James M., 2017. "The effect of quantitative easing on the variance and covariance of the UK and US equity markets," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 281-291.
    6. Michel Beine & Gunther Capelle-Blancard & Helene Raymond, 2008. "International nonlinear causality between stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 14(8), pages 663-686.
    7. Kolte, Ashutosh & Roy, Jewel Kumar & Vasa, László, 2023. "The impact of unpredictable resource prices and equity volatility in advanced and emerging economies: An econometric and machine learning approach," Resources Policy, Elsevier, vol. 80(C).
    8. Rakesh Kumar, 2016. "Integration of Stock Returns and Volatility of Emerging Equity Markets," Review of Market Integration, India Development Foundation, vol. 8(1-2), pages 79-102, April.
    9. Nikkinen, Jussi & Omran, Mohammed & Sahlstrom, Petri & Aijo, Janne, 2006. "Global stock market reactions to scheduled U.S. macroeconomic news announcements," Global Finance Journal, Elsevier, vol. 17(1), pages 92-104, September.
    10. De Gooijer, Jan G. & Sivarajasingham, Selliah, 2008. "Parametric and nonparametric Granger causality testing: Linkages between international stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(11), pages 2547-2560.
    11. Meric, Gulser & Leal, Ricardo P. C. & Ratner, Mitchell & Meric, Ilhan, 2001. "Co-movements of U.S. and Latin American equity markets before and after the 1987 crash," International Review of Financial Analysis, Elsevier, vol. 10(3), pages 219-235.
    12. Hartwell, Christopher A., 2014. "The impact of institutional volatility on financial volatility in transition economies : a GARCH family approach," BOFIT Discussion Papers 6/2014, Bank of Finland, Institute for Economies in Transition.
    13. Sarwar, Ghulam, 2012. "Is VIX an investor fear gauge in BRIC equity markets?," Journal of Multinational Financial Management, Elsevier, vol. 22(3), pages 55-65.
    14. Hatice Gaye GENCER & Mehmet Yasin HURATA, 2017. "Risk Transmission and Contagion in the Equity Markets: International Evidence from the Global Financial Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 110-129, September.
    15. Gagari Chakrabarti, 2011. "Financial crisis and the changing nature of volatility contagion in the Asia-Pacific region," Journal of Asset Management, Palgrave Macmillan, vol. 12(3), pages 172-184, August.
    16. Hachmi Ben Ameur & Waël Louhichi, 2022. "The Brexit impact on European market co-movements," Annals of Operations Research, Springer, vol. 313(2), pages 1387-1403, June.
    17. Aloui, Chaker & Hammoudeh, Shawkat & Hamida, Hela ben, 2015. "Global factors driving structural changes in the co-movement between sharia stocks and sukuk in the Gulf Cooperation Council countries," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 311-329.
    18. Rangel, José Gonzalo, 2011. "Macroeconomic news, announcements, and stock market jump intensity dynamics," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1263-1276, May.
    19. Charfeddine, Lanouar & Ajmi, Ahdi Noomen, 2013. "The Tunisian stock market index volatility: Long memory vs. switching regime," Emerging Markets Review, Elsevier, vol. 16(C), pages 170-182.
    20. Giorgio Canarella & Stephen Pollard, 2007. "A switching ARCH (SWARCH) model of stock market volatility: some evidence from Latin America," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 54(4), pages 445-462, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finana:v:17:y:2008:i:1:p:27-46. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620166 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.