Kollias et al (2011) use a nonlinear BEKK-GARCH model to see how war and terrorism impact the covariance of the price of oil and four main stock indices (S&P500, DAX, FTSE100, CAC40). They found that war has a lasting effect on the covariance, while terrorist attacks have a one-time shock to the oil price, DAX and CAC, while the S&P500 and FTSE100 were not significantly affected. significant because they are more efficient markets and deep enough to withstand the consequences of a terrorist attack. Their research proves that it is important to take into account events of war and terrorism when looking at the price of oil, which in turn affects certain stock indices and would impact the stock prices of multinational oil companies . The impacts of these events on oil prices are shown in the chart below. For example, the September 11 attacks clearly increased the price of a barrel of crude oil (EIA, 2014). 9/11 is one of the events currently being evaluated, and I'm curious to see if it had a significant impact on the price of this very important stock. d) How changes in the price of oil affect stock returns. In this subsection, I will examine how changes in oil prices affect stock returns with reference to academic articles. Ready (2012) found that changes in the supply of oil (which ultimately shift its supply curve, causing prices to change) have a large impact on stock markets around the world. Ready explicitly highlights the fact that countries that rely heavily on oil imports have seen their stock returns respond to a greater extent than other countries. Specifically, he mentions the US stock market as one that has been hit more than others, which is in line with statistics that show the US is actually the big...... middle of paper .. ....res risk sensitivity of the security to the market, and Alpha (α), which is the average unexplained return (i.e. the return not explained by the market). (Weston et al, 2004). Weston et al argue that because the market model takes risk into account, it is the most commonly used method for event studies in general. MacKinley (1997) agrees with this due to the simplicity of the market model (it is a one-factor model), its linearity and the limitations of multi-factor models, while asserting that it s This is an improvement over other models. Other event studies similar in nature to mine, such as Zevenbergen's (2008) paper on oil spills impacting the stock prices of publicly traded oil companies, use the market model to find the AR , the CAR, the AAR and the CAAR of each company during a given period. Therefore, I believe that the market model will be the best model to use for the event study that I propose..