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The financial market effects of international aviation disasters

Akyildirim, Erdinc orcid logoORCID: 0000-0003-0102-4111, Corbet, Shaen orcid logoORCID: 0000-0001-7430-7417, Efthymiou, Marina orcid logoORCID: 0000-0001-8611-5973, Guiomard, Cathal, O'Connell, John F. and Sensoy, Ahmet orcid logoORCID: 0000-0001-7967-5171 (2020) The financial market effects of international aviation disasters. International Review of Financial Analysis, 69 . ISSN 1057-5219

Abstract
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.
Metadata
Item Type:Article (Published)
Refereed:Yes
Additional Information:Article Number: 101468
Uncontrolled Keywords:Airline disaster; ContagionVolatility; Reputation risk; Financial markets
Subjects:Business > Finance
DCU Faculties and Centres:DCU Faculties and Schools > DCU Business School
Publisher:Elsevier
Official URL:http://dx.doi.org/10.1016/j.irfa.2020.101468/
Copyright Information:© 2020 Elsevier
ID Code:25031
Deposited On:29 Sep 2020 14:42 by Thomas Murtagh . Last Modified 27 May 2021 12:54
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