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The Effects of the 1987 Stock Crash on International Financial Integration
Yasushi Hamao University of Southern California - Marshall School of Business - Finance and Business Economics Department Ronald W. Masulis Vanderbilt University - Owen Graduate School of Management; Vanderbilt University - School of Law Victor Ng University of Michigan at Ann Arbor JAPANESE FINANCIAL MARKET RESEARCH, W. Ziemba, W. Bailey and Y. Hamao, editors, North Holland Publisher, 1991 Abstract: This paper examines daily open-to-close returns of major stock market indices on the New York Stock Exchange, Tokyo Stock Exchange and the London Stock Exchange over the 1985-1990 period, which encompasses the October 1987 Stock Market Crash. We estimate volatility spillover effects across the 24 hour day using a GARCH-M model. We find evidence that volatility spillover effects emanating from Japan have been gathering strength over time, especially after the 1987 Crash. This may reflect a growing awareness by domestic investors of the economic interdependence of international financial markets since the 1987 Stock Market Crash.
Keywords: International Stock Markets, Price and Volatility Spillovers, London Stock Exchange, Tokyo Stock Exchange, New York Stock Exchange, Stock Market Crash, GARCH, Financial Integration JEL Classifications: F2, F36, G15 Accepted Paper SeriesDate posted: May 19, 2006 ; Last revised: May 19, 2006Suggested CitationContact Information
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