Information Asymmetry in the French Market around Crises

Type de publication : Article Scientifique

Date de la publication : Avril 2009

Auteur(s) : M. DERHY Armand

Co-Auteur(s)

• BELLALAH Mondher

Revue : International Journal of Business

Détails (Pages/Numéro) : Volume 12, N°1

Abstract : This paper posits itself in the stream of literature related to event studies. 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.

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