The impact of MTSA on investment uncertainty and the persistence of financial return volatility of marine firms

摘要

This paper summarizes research analysing the effects of the Maritime Transportation Security Act (MTSA) on a set of listed marine operator equities. The paper uses GARCH models to compare volatility before MTSA and after MTSA to determine if there was a systematic change in the persistence of volatility. This paper also investigates the effect of MTSA on investment uncertainty (measured by return kurtosis). Homan (2009) [1] found that both kurtosis and volatility persistence increased following 9/11. The results of this paper show that after MTSA there was a reduction in return kurtosis for many of the marine operators. However, the persistence of that volatility did not go down following MTSA. Consequently, MTSA may have mitigated some of the increased return kurtosis documented by Homan but was not able to reverse the increased volatility persistence.