동일본대지진과 9ㆍ11 테러사건이 글로벌금융시장에 미친 영향에 관한 비교연구

A comparative study on the Impact of the September 11 Attacks and the East Japan Earthquake

This study investigates the impact of a disaster in a country on the international stock markets, based on the 9ㆍ11 terror attacks on the USA in 2001 and the great earthquake in North-east Japan that took place on March 11, 2011, by using daily data of eleven national stock markets in various continents for the period from one year before the events to three months after the events. Results of the analysis show that international stock markets co-moved before the events while co-movement of the markets weakened due to the different reactions to the events among stock markets under study with the 9ㆍ11 terror having more significant impact than the great earthquake in Japan. The return and volatility spillover effects of the terror attacks have been found in all international stock markets while the contagion effects of the Japan s great earthquake exist in limited stock markets under study.