恐怖袭击对上市公司股价及公司行为影响研究

Research on The Effects of Terrorist Attacks on The Stock Prices and The Behavior of Firms

本文研究恐怖袭击事件对上市公司股票价格及公司行为的影响。采用事件研究法,以发生恐怖袭击地区上市公司为样本,考察恐怖袭击事件与上市公司股价关系。运用双重差分模型(difference-in-difference,DID)考察恐怖袭击对上市公司行为影响。研究发现:恐怖袭击事件对股价具有冲击作用,产生负的异常收益率。恐怖袭击事件对袭击发生地上市公司资本支出产生显著负向影响。

This paper studies the effects of terrorist attacks on the stock prices and the behavior of firms. Based on the samples of firms attacked, this paper uses event study method to clarify the relationship between terrorist attacks and the stock prices. We test whether terrorist attacks have an impact on the behavior of firms by the ＂difference-in-difference＂ model. According to the empirical results, negative significant abnormal returns were observed which showed that terrorist attacks did have an impact on the stock prices. Terrorist attacks did have a significant negative impact on capital expenditure of firms attacked.