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Structure and performance: Global interdependence of stock markets around the crash of October 1987

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Author Info

  • Bertero, Elisabetta
  • Mayer, Colin

Abstract

This paper uses a new data source on share prices to examine how stock markets in 23 countries reacted to the crash of October 1987. It records substantial variations across countries. In general there is no evidence that these differences are related to the structure of markets. However, trading halts and capital controls on residents may have moderated the speed of dealings in some markets. The interrelation between markets is examined before, during and after the crash. The paper reports high correlations between certain groups of countries prior to the crash. However, during the week of the crash the influence of the leading markets became more pronounced.

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File URL: http://www.sciencedirect.com/science/article/B6V64-45CX03P-34/2/c334a8cdaa70a8f32b872c24c0aaad19
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Bibliographic Info

Article provided by Elsevier in its journal European Economic Review.

Volume (Year): 34 (1990)
Issue (Month): 6 (September)
Pages: 1155-1180
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:eee:eecrev:v:34:y:1990:i:6:p:1155-1180

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For corrections or technical questions regarding this item, or to correct its listing, contact: (Jeroen Loos).

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Cited by:
  1. Paulo Horta & Carlos Mendes & Isabel Vieira, 2008. "Contagion effects of the US Subprime Crisis on Developed Countries," CEFAGE-UE Working Papers 2008_08, University of Evora, CEFAGE-UE (Portugal).
  2. Charlotte Christiansen & Angelo Ranaldo, 2008. "Extreme Coexceedances in New EU Member States' Stock Markets," Working Papers 2008-10, Swiss National Bank.
  3. Frank Westermann, 2002. "Stochastic Trends and Cycles in National Stock Market Indices: Evidence from the U.S., the U.K. and Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(III), pages 317-328, September.
  4. Degryse, Hans & Ather Elahi, Muhammad & Penas, María Fabiana, 2012. "Determinants of banking system fragility: A regional perspective," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/338821, Katholieke Universiteit Leuven.

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