The Effect of 9/11 on the Stock Market Volatility Dynamics: Empirical Evidence from a Front Line StateInternational Research Journal of Finance and Economics (2008)
AbstractDid the terrorist attacks of September 11, 2001 change the volatility dynamics of stock markets? Using daily returns data from Pakistan, a front line state in the war against terror, we investigate whether important time series characteristics, for example first-order time dependence in the mean and conditional variance, the conditional variance risk premium, and the asymmetric response of the conditional variance to innovations, have changed during the post-9/11 period in comparison to these characteristics during the pre-9/11 period. Our results show that the volatility behavior changed significantly after the terrorist attacks of 9/11. We show that this sudden shift in the volatility behavior cannot be explained by the implementation of regulatory reforms. We divide pre-9/11 period into the pre- and the post-reform periods and show that the volatility behavior during both of these periods was qualitatively the same.
- Volatility Dynamics; Emerging Markets
Citation InformationOmar Farooq and Sheraz Ahmed. "The Effect of 9/11 on the Stock Market Volatility Dynamics: Empirical Evidence from a Front Line State" International Research Journal of Finance and Economics Vol. 16 (2008)
Available at: http://works.bepress.com/omar_farooq/3/