Abstract
Most existing studies focus on establishing models of interdependence between the construction sector and performance of the national economy, this issue was initiated from financial markets in this study. By adopting an autoregressive conditional jump intensity model, this study examined how various unpredictable events impact the construction sector. Dependence on the arrival process governing jump events in a discrete-time setting was explored, in addition to the behaviour of the fundamental properties of structure index during periods of distinct events. Although the market efficiency hypothesis still holds, results of this study demonstrate that acquisition announcements are perceived as discrete sudden shocks by the stock market.
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