. -- terrorism ; volatility ; GARCH ; event study …Using the multivariate regression methodology, we investigate the short-term effect of September 11, 2001 on US defense … time variation of stock return volatility (GARCH). In the long-term, our results suggest that the US defense firms only …

three control samples. In conjunction with this increase in total volatility there is also an increase in market risk (beta …We examine the relation between exchange rate variability and stock return volatility for U.S. multinational firms and … decompose this relation into components of systematic and diversifiable risk. Focusing on two five-year periods around the 1973 …