HAS THE 911 INCIDENT INDUCED ANY STRUCTURAL CHANGE IN THE U.S. STOCK MARKET?

Abstract

This paper employs the structural-change test to predict structural change in the U.S. stock market, associated to the September 11 incident. More than 500 U.S. companies are examined in this study. It provides the first piece of statistical evidence showing that there are insiders who know the attack beforehand and try to profit from the U.S. stock market. Besides, structural change in the stock price level has been detected in only 15 out of those 38 companies with unusual trading activities before the incident, indicating that the impact of the 911 attacks on the American financial system is very limited.