The Crash of 1987: An Empirical Examination of Liquidity, Volatility, and Volume Across International Stock Markets
17 Pages Posted: 19 May 2006
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: Suggested Citation