Contagion in Financial Markets After September 11 - Myth or Reality?

By Mark T. Hon, Jack Strauss, S. Yong. 2004

175 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5d640b06be98e6e3a67bb54645ba1021a5cc3267

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Citations in the corpus

Geopolitical risks and stock market dynamics of the BRICS (2018, background): “1 A related line of research has used either dummy variables or time-varying approaches to relate to periods of geopolitical tensions to analyze spillovers between oil and stock markets (see for example, Kollias et al., (2013b) and Antonakakis et al.”
Flights and Contagion - an Empirical Analysis of Stock-Bond Correlations (2009, background): “…in more detail in the literature (e.g. see Baig and Goldfajn, 1999, Forbes and Rigobon, 2002 and Roubini, 1998 for the Asian crisis, Dungey et al. (2006) for the Russian crisis, Hon et al. (2004) for September 11, Gillan and Martin (2002) for Enron and Akhigbe, Martin and Whyte, 2005 for WorldCom).”
COVID-19 and finance: Agendas for future research (2020, unknown): “Hon, Strauss, and Yong (2004) find that the September 11 terrorist attacks led to an increase in correlations amongst global markets, with this effect varying by global region.”
Global capital market interdependence and spillover effect of credit risk: evidence from the 2007–2009 global financial crisis (2010, background): “Together with the findings in the sections ‘VAR models’ and ‘Causal relationships between S&P500 and global market indices’, the findings here provide new contribution to existing literature on intensifying interdependence among global markets during periods of financial crises (Tuluca and Zwick, 20”
Large shocks and the September 11th terrorist attacks on international stock markets (2006, background): “…large (permanent and temporary) shocks in response to the terrorist attacks and its aftermath, involving abnormal returns.1 This result confirms the tight linkages between the stock markets and the contagion effects of news (Hamao et al., 1990; Arshanapalli and Doukas, 1993; Hon et al., 2004).”
Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach (2017, background): “…attacks) in predicting movements of financial market returns and volatility (see for example, Chen and Siems 2004; Drakos 2004; Eldor and Melnick 2004; Hon, Strauss, and Yong 2004; Johnston and Nedelescu 2006; Abadie and Gardeazabal 2008; Arin, Ciferri, and Spagnolo 2008; Fernandez 2008; Nikkinen…”