The Contagion Effect of the Terrorist Attacks of the 11th of September
João Leitão () and
Cristóvão Oliveira ()
Finance from University Library of Munich, Germany
In the context of interdependence of the financial markets, it becomes interesting to analyze the implications associated with the Terrorist Attacks of the 11th of September of 2001, in the USA, in terms of the development of contagion mechanisms between the main international stock exchanges. The sample is subdivided in two periods, in order to capture two different conjectures, that is, the pre-attack period, and the one that is concerned with the post-attack period. The results obtained through the estimation of a vector autoregressive model, incorporating an error correction mechanism, are presented. These results provide the detection of cointegrating relations among the economic variables, in study. A dynamic analysis is done, using exogeneity block tests, in order to check the existence of causality relations, which are defined in a Grangerian sense. For a forecasting purpose, the techniques of the variance decomposition of Cholesky, and of the impulse response functions are used. The occurrence of contagion is ratified by the results, starting from the terrorist attacks in the USA, which yielded a bigger volatility, with positive sign, in the Portuguese, and in the English Stock Exchanges.
Keywords: Contagion; Stock Exchange; Vector Autoregressive Model. (search for similar items in EconPapers)
JEL-codes: C30 C32 G10 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin and nep-fmk
Note: Type of Document - pdf; pages: 27
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0510006
Access Statistics for this paper
More papers in Finance from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ().