LAUSR

Abstract In the case of the 2011 off the Pacific Coast of Tohoku Earthquake, both a statistical model and an economic model are employed to measure the short-term reaction on different levels from the whole market to individual stocks. The abnormal returns from these two types of models are tested by parametric and nonparametric methods. The results from two types of models are similar. For the whole Japanese stock market, the negative reaction returns to the normal level till 5–10 days after the event; for 33 sectors, those directly and secondly destroyed ones react negatively, those slightly destroyed ones can restore in 3–5 days, and construction is the only sector reacts positively; for individual stocks, the negative reaction is from directly and secondly destroyed entities and the positive reaction is mainly from those with huge demand in recovery, most of them locate in the areas with JMA intensity high than 5+, where the distribution of the principal executive offices with negative reaction is around the epicenter, and that with positive reaction is farther.