1 option
Transmission of Volatility Between Stock Markets / Mervyn A. King, Sushil Wadhwani.
- Format:
- Book
- Author/Creator:
- King, Mervyn A.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w2910.
- NBER working paper series no. w2910
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1989.
- Summary:
- This paper investigates why, in October 1987, almost all stock markets fell together despite widely differing economic circumstances. The idea is that "contagion" between markets occurs as the result of attempts by rational agents to infer information from price changes in other markets. This provides a channel through which a "mistake" in one market can be transmitted to other markets. Hourly stock price data from New York, Tokyo and London during an eight month period around the crash offer support for the contagion model. In addition, the magnitude of the contagion coefficients are found to increase with volatility.
- Notes:
- Print version record
- March 1989.
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