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Contribution Details

Type Journal Article
Scope Discipline-based scholarship
Title The financial market effects of international aviation disasters
Organization Unit
Authors
  • Erdinc Akyildirim
  • Shaen Corbet
  • Marina Efthymiou
  • Cathal Guiomard
  • John F O'Connell
  • Ahmet Sensoy
Item Subtype Original Work
Refereed Yes
Status Published in final form
Language
  • English
Journal Title International Review of Financial Analysis
Publisher Elsevier
Geographical Reach international
ISSN 1057-5219
Volume 69
Page Range 101468
Date 2020
Abstract Text The spread of misinformation with regards to aviation disasters continues to be a point of concern for aviation companies. Much of this information usually surrounds speculation based on the cause and responsibility attributed to the incident, implicitly possessing the potential to generate significant financial market price volatility. In this paper, we investigate a number of stylised facts relating to the effects of airline disasters on aviation stocks, while considering contagion effects, information flows and the sources of price discovery within the broad sector. Results indicate a substantially elevated levels of share price volatility in the aftermath of aviation disasters, while cumulative abnormal returns present sharp under-performance of the analysed companies relative to international exchanges. When considering an EGARCH analysis, we observe that share price volatility appears to be significantly influenced by the scale of the disaster in terms of the fatalities generated. Significant contagion effects upon the broad aviation index along with substantial changes in traditional price discovery channels are also identified. The role that the spread of information on social media, whether it be correct or of malicious origins, cannot be eliminated as an explanatory factor of these changing dynamics over time and region.
Free access at DOI
Official URL https://www.sciencedirect.com/science/article/pii/S1057521920301125
Digital Object Identifier 10.1016/j.irfa.2020.101468
Other Identification Number merlin-id:20609
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