Empirical Examination of the Impact of Terrorist Attacks - New York, Madrid, London - On Sectoral Stock Returns : Cross Stock Market Study

This study examines how terrorist attacks affect stock returns, the differences in the reaction of stock returns among different sectors and the differences in the reaction among different stock markets. The study focuses on the terrorist attacks that took place in New York City (NYC) on 11 September 2001, in Madrid on 11 March 2004, and in London on 7 July 2005. It examines firms that belong to banking, insurance and leisure sectors and five different stock markets, namely France, Germany, Italy, U.S.A. and U.K. The study shows that in France, the insurance sector was mostly affected following the Madrid attack. US insurance firms were mostly influenced by the London and Madrid attacks. The Italian insurance sector was mostly affected by the NYC attack. In Italy, the U.S.A. and the U.K., the leisure sector was mostly affected, especially due to the Madrid attack. U.S. leisure firms were severely affected by the NYC attack. The impact of the London terrorist attack was greater for U.S. and Italian banks