The Effects of the 1987 Stock Crash on International Financial Integration
Center on Japanese Economy and Business; University of Southern California - Marshall School of Business - Finance and Business Economics Department
Ronald W. Masulis
University of New South Wales - Australian School of Business; European Corporate Governance Institute (ECGI); Financial Research Network (FIRN)
University of Michigan at Ann Arbor
JAPANESE FINANCIAL MARKET RESEARCH, W. Ziemba, W. Bailey and Y. Hamao, editors, North Holland Publisher, 1991
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.
Number of Pages in PDF File: 21
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 Classification: F2, F36, G15
Date posted: May 19, 2006
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