Who Moves Markets in a Sudden Marketwide Crisis? Evidence from 9/11

Timothy Burch, Douglas Emery, Michael E. Fuerst

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

We compare reactions in the prices and trading patterns of common stocks and closed-end funds (CEFs), securities with substantially different investor clienteles, to the Sept. 11, 2001 terrorist attacks. When the market reopened 6 days later, retail investors sold and there were sharp price declines, even in assets with net institutional buying. In the subsequent 2 weeks, price reversals were substantially security specific and thus not simply due to improved systematic sentiment. Consistent with microstructure theory, comparisons between CEFs and common stocks show the speed of these reversals depended significantly on the relative quality and availability of information about fundamental values.

Original languageEnglish (US)
Pages (from-to)463-487
Number of pages25
JournalJournal of Financial and Quantitative Analysis
Volume51
Issue number2
DOIs
StatePublished - Apr 1 2016

Fingerprint

September 11 attacks
Investors
Closed-end funds
Assets
Microstructure
Sentiment
Clientele
Price reversal
Terrorist attack
Reversal
Retail
Fundamental values

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

Cite this

Who Moves Markets in a Sudden Marketwide Crisis? Evidence from 9/11. / Burch, Timothy; Emery, Douglas; Fuerst, Michael E.

In: Journal of Financial and Quantitative Analysis, Vol. 51, No. 2, 01.04.2016, p. 463-487.

Research output: Contribution to journalArticle

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