Testing equity market efficiency around terrorist attacks

摘要

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.View full textDownload full textKeywordsterrorist attacks, event studies, insider trading, forensic finance, 9-11JEL ClassificationG14, G15Related var addthis_config = { ui_cobrand: "Taylor & Francis Online", services_compact: "citeulike,netvibes,twitter,technorati,delicious,linkedin,facebook,stumbleupon,digg,google,more", pubid: "ra-4dff56cd6bb1830b" }; Add to shortlist Link Permalink http://dx.doi.org/10.1080/00036846.2011.587778