Market Definition of Long Distance Transportation Market in Japan: An Event Study Approach

After the September 11th attacks, passengers avoided air travel. Hence, companies competing with air carriers may have benefited from the terrorist attacks. Using the market model with a dummy variable and generalized autoregressive conditional heteroskedasticity (GARCH) for an event study, we examine the impact of the attacks on Japanese airline and high-speed railway industries. We show that terrorist attacks negatively impacted the stock prices of the airline industry but increased those of the high-speed railway industry. Thus, because of the competition between air carriers and railway companies, terrorist attacks benefited the high-speed railway industry. We conclude that the Japanese transportation market can be defined as a market containing both air carriers and railway companies.