The Crash of 1987: An Empirical Examination of Liquidity, Volatility, and Volume Across International Stock Markets

17 Pages Posted: 19 May 2006

See all articles by G. N. Naidu

G. N. Naidu

College of Business Finance, Insurance, and Law

Michael S. Rozeff

SUNY at Buffalo - Department of Financial & Managerial Economics

Abstract

The Hong Kong Stock Exchange closed for four days after the October, 1987 crash. This paper examines prices, liquidity, volatility, and trading volume on the HKSE after the exchange reopened in comparison with other Asian exchanges that did not close. The closing had negative effects on the trading characteristics of the Hong Kong market. Prices dropped more than expected, volatility increased, liquidity decreased, and postponed trading created a surge in volume.

Keywords: Crash of 1987, Hong Kong market closing, liquidity, volatility, volume

JEL Classification: G15, G20

Suggested Citation

Naidu, G. N. and Rozeff, Michael S., The Crash of 1987: An Empirical Examination of Liquidity, Volatility, and Volume Across International Stock Markets. Pacific-Basin Capital Markets Research, Vol. 3, pp. 359-375, 1992. Available at SSRN: https://ssrn.com/abstract=903309

G. N. Naidu (Contact Author)

College of Business Finance, Insurance, and Law ( email )

Normal, IL 61761
United States

Michael S. Rozeff

SUNY at Buffalo - Department of Financial & Managerial Economics ( email )

Buffalo, NY 14260
United States

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