Information Asymmetry in the French Market around Crises
Bellalah, Mondher; Aboura, Sofiane (2007), Information Asymmetry in the French Market around Crises, International Journal of Business, 12, 3, p. 301-309
TypeArticle accepté pour publication ou publié
Journal nameInternational Journal of Business
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Abstract (EN)This paper posits itself in the stream of literature related to event studies and in particular the September 11th event. It is the first study to our knowledge that investigates the impact on the French financial market of September 11th, 2001 and September 21st, 2001. Was there any information asymmetry around these two dates? How did French investors react to these tragic events? We implement an information cost model and a jump diffusion model to capture the magnitude of shocks in stock price processes. We found that the information linked with the domestic event has been straight away absorbed while the information related to the international event has been spread out between the 12th and 17th September.
Subjects / Keywords11 septembre 2001, Attentats du (États-Unis); Marché financier; Volatilité (finances); Jump diffusion model; Implied volatility; Information costs
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