انتقال و پاسخ انگیزشی بازارهای بین المللی سهام در حملات تروریستی 11-9

This study investigates both return and volatility contagion effects of the 9–11 terrorist attacks across the major markets, and examines the extent to which international stock markets can be destabilized by shocks that arise in the US. Evidence presented in this paper suggests that to the extent that higher correlations with the US market can enhance contagion effects from the US, the attacks brought about volatility contagion (rather than return contagion) from the US to UK and German markets. In contrast, the Japanese market had return contagion (rather than volatility contagion) from the US market. After the attacks, a US shock had a strongly positive effect on the US/Japan return correlation but had little or no effect in response functions of the return correlation for the US/UK and US/German markets. Impulse responses of the volatility correlation to a US shock notably increased after the attacks for the US/UK and US/German markets. An overall analysis of the post-attack period reveals that international market correlations were strengthened through volatility for the US/UK and US/German markets and through return for the US/Japanese market.

In this paper we investigate evidence of both return and volatility contagion effects of the terrorist attacks across the major markets, and examine the extent to which international stock markets can be destabilized by shocks that arise in the US. To this end, the whole sample of four national stock market indexes (the S & P 500 of US, the FTSE 100 of UK, the DAX of Germany, and the TOPIX of Japan) is divided into two subperiods: the pre-attack period and post-attack period. We find that there was a drastic drop in market returns and a concomitant rise in market volatility immediately after the attacks. After the attacks, the overall market condition for the US and Japan was ameliorated from the risk and return perspective. Yet, the situation for the UK and Germany with regard to the risk profile was aggravated in the post-attack period, with a higher level of standard deviation than its pre-attack level. International stock markets can be correlated not only through their returns but also through their volatilities. Evidence presented in this paper indicates that, after the attacks, international stock markets were more strongly positively correlated through volatilities rather than through returns for the US/UK and US/German markets, while a market correlation between the US and Japan was strengthened through returns rather than through volatilities. This suggests that to the extent that higher correlations with the US market can enhance contagion effects from the US to other markets, the terrorist attacks brought about a volatility contagion (rather than a return contagion) from the US to UK and German markets. In contrast, the Japanese market had a return contagion (rather than a volatility contagion) from the US market, suggesting that the terrorist attacks gave rise to a structural change in the dynamics of international stock market correlations. This is further supported by statistical evidence that there was an abrupt structural break in international stock market correlations in volatility for the UK and Germany and in returns for Japan around the 9–11 attacks. Impulse response analysis conducted in this paper shows that post-attack responses of the sample markets to a US shock were short-lived and positive in return and return correlations, whereas the corresponding responses of volatility and volatility correlations were fairly persistent. The non-US sample market returns showed a positive response to a shock in the US market, with the most intense response of the Japanese market returns after the attacks. An overall response of market volatility to a US shock increased after the attacks, with the most dramatic increase in the UK and German markets. The US shock had a strongly positive effect on the US/Japan return correlation but had little or no change over the two sub-periods for response functions of the US/UK and US/Germany return correlations. Impulse responses of the volatility correlation to a US shock notably increased after the attacks for the US/UK and US/Germany volatility correlations. An overall analysis of the post-attack period reveals that international market correlations were strengthened through volatility for the US/UK and US/German markets and through returns for the US/Japanese market.