The Impact of the 9/11 Events on the American and French Stock Markets

15 Pages Posted: 22 Jul 2005

See all articles by Bertrand B. Maillet

Bertrand B. Maillet

EMLyon Business School (Paris Campus)

Thierry Michel

Université Paris I Panthéon-Sorbonne - TEAM

Abstract

Markets reacted strongly to the World Trade Center attacks both in Europe and in the United States. The extent of this crisis was difficult to assess at the time, underlining the need for a specific tool to measure the magnitude of financial crises. A first measure was recently proposed and applied to the foreign exchange market by Zumbach et al. (2000a,b). Their measure relies on an analogy with geophysics; the related index of market shocks (IMS) that we propose here is also the counterpart of the Richter scale used for earthquakes. We apply this measure on the French and the American stock markets to put large market events into perspective. The crisis triggered by the September attacks was actually the worst since 1987, and the ninth worst when compared to major historical ones.

Suggested Citation

Maillet, Bertrand B. and Michel, Thierry, The Impact of the 9/11 Events on the American and French Stock Markets. Review of International Economics, Vol. 13, No. 3, pp. 597-611, August 2005. Available at SSRN: https://ssrn.com/abstract=758628

Bertrand B. Maillet (Contact Author)

EMLyon Business School (Paris Campus) ( email )

23 Avenue Guy de Collongue
Ecully, 69132
France

Thierry Michel

Université Paris I Panthéon-Sorbonne - TEAM ( email )

106-112 boulevard de l'hôpital
Cedex 13 Paris, P75647
France

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