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Transmission of Volatility between Stock Markets

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Author Info
King, Mervyn A
Wadhwani, Sushil

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Abstract

This article investigates why, in October 1987, almost all stock markets fell together despite widely differing economic circumstances. The authors construct a model in which "contagion" between markets occurs as a result of attempts by rational agents to infer information from price changes in other markets. This provides a channel through which a "mistake" in one market can be transmitted to other markets. The authors offer supporting evidence for contagion effects using two different sources of data. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.

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Publisher Info
Article provided by Oxford University Press for Society for Financial Studies in its journal Review of Financial Studies.

Volume (Year): 3 (1990)
Issue (Month): 1 ()
Pages: 5-33
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Handle: RePEc:oup:rfinst:v:3:y:1990:i:1:p:5-33

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Bray, Margaret, 1985. "Rational Expectations, Information and Asset Markets: An Introduction," Oxford Economic Papers, Oxford University Press, vol. 37(2), pages 161-95, June. [Downloadable!] (restricted)
  2. Green, Jerry, 1977. "The Non-existence of Informational Equilibria," Review of Economic Studies, Blackwell Publishing, vol. 44(3), pages 451-63, October. [Downloadable!] (restricted)
  3. Grossman, Sanford, 1978. "Further results on the informational efficiency of competitive stock markets," Journal of Economic Theory, Elsevier, vol. 18(1), pages 81-101, June. [Downloadable!] (restricted)
  4. Grossman, Sanford J, 1981. "An Introduction to the Theory of Rational Expectations under Asymmetric Information," Review of Economic Studies, Blackwell Publishing, vol. 48(4), pages 541-59, October. [Downloadable!] (restricted)
  5. Sanford Grossman, 1978. "Further results on the informational efficiency of competitive stock markets," Special Studies Papers 114, Board of Governors of the Federal Reserve System (U.S.).
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