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Testing equity market efficiency around terrorist attacks

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  • Les Coleman

Abstract

This article uses the nine major bombings since 1998 that have been attributed to Al Qaida to examine market efficiency, including a test of rumours that investors traded with advance knowledge of attacks. Analysis of these related, but individually unexpected, events confirms markets are semi-strong efficient: it now takes well under a trading day to fully price in a completely unexpected attack. On balance, markets also proved strongly efficient with no conclusive evidence of insider trading.

Suggested Citation

  • Les Coleman, 2012. "Testing equity market efficiency around terrorist attacks," Applied Economics, Taylor & Francis Journals, vol. 44(31), pages 4087-4099, November.
  • Handle: RePEc:taf:applec:44:y:2012:i:31:p:4087-4099
    DOI: 10.1080/00036846.2011.587778
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    File URL: http://hdl.handle.net/10.1080/00036846.2011.587778
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    References listed on IDEAS

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    1. Mete Feridun, 2011. "Impact of terrorism on tourism in Turkey: empirical evidence from Turkey," Applied Economics, Taylor & Francis Journals, vol. 43(24), pages 3349-3354.
    2. Stephen A. Ross, 2003. "Forensic Finance: Enron and Others," 'Angelo Costa' Lectures Serie, SIPI Spa, issue Lect. IV.
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    Cited by:

    1. Hudson, Robert & Urquhart, Andrew, 2015. "War and stock markets: The effect of World War Two on the British stock market," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 166-177.

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