Large shocks and the September 11th terrorist attacks on international stock markets

This study investigates the effects of the terrorist attacks in U.S. on September 11, 2001, on international stock markets. We examine 10 daily stock market indexes using the outlier detection methodology. We show that the international stock markets experienced large (permanent and temporary) shocks in response to the terrorist attacks and its aftermath. We also show that taking into account these events can improve modelling financial risk, especially the volatility in stock market prices.