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The Impact of the 9/11 Events on the American and French Stock Markets

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  • Bertrand B. Maillet
  • Thierry L. Michel

Abstract

Markets reacted strongly to the World Trade Center attacks both in Europe and in the United States. The extent of this crisis was difficult to assess at the time, underlining the need for a specific tool to measure the magnitude of financial crises. A first measure was recently proposed and applied to the foreign exchange market by Zumbach et al. (2000a,b ). Their measure relies on an analogy with geophysics; the related index of market shocks (IMS) that we propose here is also the counterpart of the Richter scale used for earthquakes. We apply this measure on the French and the American stock markets to put large market events into perspective. The crisis triggered by the September attacks was actually the worst since 1987, and the ninth worst when compared to major historical ones. Copyright Blackwell Publishing Ltd 2005..

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Review of International Economics.

Volume (Year): 13 (2005)
Issue (Month): 3 (08)
Pages: 597-611

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Handle: RePEc:bla:reviec:v:13:y:2005:i:3:p:597-611

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0965-7576

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Cited by:
  1. John Garvey & Martin Mullins, 2009. "An Examination of "New" and "Old" Terrorism Using High-Frequency Data," Economics of Security Working Paper Series 18, DIW Berlin, German Institute for Economic Research.
  2. Konstantinos Drakos, 2009. "Cross-Country Stock Market Reactions to Major Terror Events: The Role of Risk Perception," Economics of Security Working Paper Series 16, DIW Berlin, German Institute for Economic Research.
  3. repec:hal:journl:halshs-00261514 is not listed on IDEAS
  4. Abdelbaki, Hisham, 2013. "The Impact of Arab Spring on Stock Market Performance," MPRA Paper 54814, University Library of Munich, Germany.
  5. J. W.B. Bos & M. Frömmel & M. Lamers, 2013. "FDI, Terrorism and the Availability Heuristic for U.S. Investors before and after 9/11," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration 13/850, Ghent University, Faculty of Economics and Business Administration.
  6. Konstantinos Drakos, 2009. "The Determinants of Terrorist Shocks' Cross-Market Transmission," Economics of Security Working Paper Series 17, DIW Berlin, German Institute for Economic Research.
  7. Charles, Amelie & Darne, Olivier, 2006. "Large shocks and the September 11th terrorist attacks on international stock markets," Economic Modelling, Elsevier, Elsevier, vol. 23(4), pages 683-698, July.

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