2011 일본지진이 항공운송기업 주식가치에 미치는 영향
The impact of Japan’s 2011 earthquake on Aviation firms’ stock values
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The earthquake that occurred in Japan on 11th, March 2011, has made a profound negative impact on the global financial markets, and physical damage has been estimated to be from $195billion to as much as $305 billion. As the third-largest economy in the world, Japan’s GDP at $5.5 trillion accounts for 8.7% of global GDP. The net impact of the earthquake on global GDP is expected to shave about a half percentage point off global economic growth. This paper investigates the relationship between Japan’s 2011 earthquake and aviation firms’stock values. Results indicate the significant and negative CARs in the share prices of aviation firms. The VARMAX model has a convergent representation with the pairs of impulse and responses. In the pairs of Japan variable and aviation firms’ stock returns, we can see the short-run responses. This study suggests empirical implications to air carriers’ stock values by analyzing and discussing stock prices, CAR, VAR, and the impulse response function of stock returns.
Abstract
The earthquake that occurred in Japan on 11th, March 2011, has made a profound negative impact on the global financial markets, and physical damage has been estimated to be from $195billion to as much as $305 billion. As the third-largest economy in the world, Japan’s GDP at $5.5 trillion accounts for 8.7% of global GDP. The net impact of the earthquake on global GDP is expected to shave about a half percentage point off global economic growth. This paper investigates the relationship between Japan’s 2011 earthquake and aviation firms’stock values. Results indicate the significant and negative CARs in the share prices of aviation firms. The VARMAX model has a convergent representation with the pairs of impulse and responses. In the pairs of Japan variable and aviation firms’ stock returns, we can see the short-run responses. This study suggests empirical implications to air carriers’ stock values by analyzing and discussing stock prices, CAR, VAR, and the impulse response function of stock returns.
참고문헌 (11)
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