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The Puzzling Effect of September 11 on Interdependences of International Stock Markets

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Abstract

In the context of interdependence of the financial markets, it becomes interesting to analyze the effects of the terrorist attacks of September 11, 2001, in USA, on the different financial markets. The paper attempts to demonstrate the occurence of a contagion effect among few important international stock markets, by comparing two contrasting periods the pre-attack period and the post-attack period. The results obtained by estimation of a vector autoregressive model detect cointegrating relationships among the different stock indexes. A dynamic analysis is conducted, using the block exogeneity tests to check the existence of causality relations. The contagion effect initiating from the USA, which yielded greater volatility, with a positive sign in two European stock markets the Portuguese and the English stock markets is ratified.

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  • João Leitão & Cristóvão Oliveira, 2007. "The Puzzling Effect of September 11 on Interdependences of International Stock Markets," The IUP Journal of Applied Economics, IUP Publications, vol. 0(4), pages 35-51, July.
    • Handle: RePEc:icf:icfjae:v:06:y:2007:i:3:p:35-51
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    Cited by:

    1. Michał Adam, 2013. "Spillovers and contagion in the sovereign CDS market," Bank i Kredyt, Narodowy Bank Polski, vol. 44(6), pages 571-604.

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