The Crash in Perspective

2 Pages Posted: 19 May 2006

See all articles by Michael S. Rozeff

Michael S. Rozeff

SUNY at Buffalo - Department of Financial & Managerial Economics

Date Written: March 1988

Abstract

The October 1987 crash of stock prices is a largely unexplainable event, much like any other setting of prices in the stock market, only larger. If anything the market operated efficiently in moving prices to a new level that tended to persist for many months thereafter, thus indicating that the crash was not an overreaction. Statements by the SEC chairman concerning a possible trading halt and the halt in index arbitrage trading probably added to the volatility. Attempts to limit volatility by regulation are misguided and will prove damaging.

Keywords: crash of 1987, volatility, market efficiency

JEL Classification: G14

Suggested Citation

Rozeff, Michael S., The Crash in Perspective (March 1988). Available at SSRN: https://ssrn.com/abstract=903420 or http://dx.doi.org/10.2139/ssrn.903420

Michael S. Rozeff (Contact Author)

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

Buffalo, NY 14260
United States

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