Do stock markets move in tandem after significant events? an investigation of the 9/11 event.

• Main Authors: Leong, Chin Chin., Low, Yuih Chen., Ng, Anna.
• Other Authors: Young, Martin Robert
• Format: Final Year Project
• Published: 2008
• Subjects: DRNTU::Business::Finance::Stock exchanges
• Online Access: http://hdl.handle.net/10356/8761
• Institution: Nanyang Technological University

Linkages and efficiencies between markets with which innovations are transmitted are analysed. Adopting the generalized approach to forecast error variance decomposition and impulse response, markets are found to be informationally efficient and move in tandem in times of crises. Transient “herding...