Do stock markets move in tandem after significant events? an investigation of the 9/11 event.
Leong, Chin Chin.
Low, Yuih Chen.
Date of Issue2003
College of Business (Nanyang Business School)
Linkages and efficiencies between markets with which innovations are transmitted are analysed. Adopting the generalized approach to forecast error variance decomposition and impulse response, markets are found to be informationally efficient and move in tandem in times of crises. Transient “herding effect” in the Asian and Middle Eastern countries exists.
Final Year Project (FYP)
Nanyang Technological University