Abstract
Event study, which is popular in finance and accounting, is adopted to measure the effect of an earthquake on stock market. In the case of the 2011 off the Pacific coast of Tohoku Earthquake, the constant mean return model and the market model are adopted for the whole Japanese stock market and some typical stocks respectively. The result indicates that abnormal returns from the whole market are negative and significant, at level 0.01, only in the next four days of this event; however, in fourteen typical stocks of automobiles and motorcycles manufacture, electronic goods, transportation, lifeline and insurance, those from Tokyo Electric Power Company Inc., Honda Motor Co. Ltd., Nissan Motor Co. Ltd. and Fuji Heavy Industries Ltd. are negative and significant, at level 0.01, in the next ten days.
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