Testing equity market efficiency around terrorist attacks
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.
Document Type: Research Article
Affiliations: Finance Department,University of Melbourne, ParkvilleVictoria 3010, Australia
Publication date: 2012-11-01