Do stock markets move in tandem after significant events? an investigation of the 9/11 event.
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...
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| Main Authors: | , , |
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| 格式: | Final Year Project |
| 出版: |
2008
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| 在線閱讀: | http://hdl.handle.net/10356/8761 |
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