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/lp/emerald-publishing/covariability-of-major-equity-markets-around-the-october-1987-crash-1FEYMU5aeI
- Publisher
- Emerald Publishing
- Copyright
- Copyright © Emerald Group Publishing Limited
- ISSN
- 1056-9219
- DOI
- 10.1108/eb047276
- Publisher site
- See Article on Publisher Site
Abstract
This study examined the level of interdependecies which existed among several major equity markets around the October 19, 1987, crash. Three different statistical techniques were utilized to analyze daily data for three months before and after the crash. All three techniques revealed that the major equity markets were more closely integrated during the postcrash subperiod than the precrash subperiod. The existence of the unidirectional causality from the U.S. to Canada and from the U.S. to U.K. and bidirectional causality between the U.S. and Japan during the postcrash subperiod indicate that the U.S. market volatility contributed to the volatility in the foreign markets.
Journal
International Journal of Commerce and Management – Emerald Publishing
Published: Jan 1, 1991