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Applying intervention analysis to financial performance data: The case of US airlines and September 11th

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  • Vitaly Guzhva

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  • Vitaly Guzhva, 2008. "Applying intervention analysis to financial performance data: The case of US airlines and September 11th," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 32(3), pages 243-259, July.
    • Handle: RePEc:spr:jecfin:v:32:y:2008:i:3:p:243-259
    DOI: 10.1007/s12197-007-9023-1
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    References listed on IDEAS

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    1. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220, National Bureau of Economic Research, Inc.
    2. Larcker, David F. & Gordon, Lawrence A. & Pinches, George E., 1980. "Testing for Market Efficiency: A Comparison of the Cumulative Average Residual Methodology and Intervention Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(2), pages 267-287, June.
    3. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    4. Walter Enders & Todd Sandler & Gerald F. Parise, 1992. "An Econometric Analysis of the Impact of Terrorism on Tourism," Kyklos, Wiley Blackwell, vol. 45(4), pages 531-554, November.
    5. Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
    6. Ball, R & Brown, P, 1968. "Empirical Evaluation Of Accounting Income Numbers," Journal of Accounting Research, Wiley Blackwell, vol. 6(2), pages 159-178.
    7. Feng, Cheng-Min & Wang, Rong-Tsu, 2000. "Performance evaluation for airlines including the consideration of financial ratios," Journal of Air Transport Management, Elsevier, vol. 6(3), pages 133-142.
    8. Enders, Walter & Sandler, Todd & Parise, Gerald F, 1992. "An Econometric Analysis of the Impact of Terrorism on Tourism," Kyklos, Wiley Blackwell, vol. 45(4), pages 531-554.
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    Citations

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    Cited by:

    1. Ismail, Noor Azina & Jenatabadi, Hashem Salarzadeh, 2014. "The influence of firm age on the relationships of airline performance, economic situation and internal operation," Transportation Research Part A: Policy and Practice, Elsevier, vol. 67(C), pages 212-224.
    2. Thai-Ha Le & Donghyun Park & Cong-Phu-Khanh Tran & Binh Tran-Nam, 2018. "The Impact of the Hai Yang Shi You 981 Event on Vietnam’s Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(3_suppl), pages 344-375, December.
    3. Benjamin Collier & Ani L. Katchova & Jerry R. Skees, 2011. "Loan portfolio performance and El Niño, an intervention analysis," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 71(1), pages 98-119, May.
    4. Jenatabadi, Hashem Salarzadeh & Ismail, Noor Azina, 2014. "Application of structural equation modelling for estimating airline performance," Journal of Air Transport Management, Elsevier, vol. 40(C), pages 25-33.
    5. Chiuling Lu & Ann Yang & Jui-Feng Huang, 2015. "Bankruptcy predictions for U.S. air carrier operations: a study of financial data," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(3), pages 574-589, July.
    6. Kentaka Aruga, 2014. "An intervention analysis on the Tokyo Grain Exchange non-genetically modified and conventional soybean futures markets," Cogent Economics & Finance, Taylor & Francis Journals, vol. 2(1), pages 1-11, December.

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    More about this item

    Keywords

    US airlines; Intervention analysis; Terrorist attack; Impact effect; G14; L93; L98;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • L93 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Air Transportation
    • L98 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Government Policy

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