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Contagion around the October 1987 stock market crash

Listed author(s):
  • Yang, Jian
  • Bessler, David A.

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Article provided by Elsevier in its journal European Journal of Operational Research.

Volume (Year): 184 (2008)
Issue (Month): 1 (January)
Pages: 291-310

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Handle: RePEc:eee:ejores:v:184:y:2008:i:1:p:291-310
Contact details of provider: Web page: http://www.elsevier.com/locate/eor

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  1. Mervyn King & Enrique Sentana & Sushil Wadhwani, 1990. "Volatiltiy and Links Between National Stock Markets," NBER Working Papers 3357, National Bureau of Economic Research, Inc.
  2. Chakrabarti, Rajesh & Roll, Richard, 2002. "East Asia and Europe During the 1997 Asian Collapse: A Clinical Study of a Financial Crisis," University of California at Los Angeles, Anderson Graduate School of Management qt09f9j331, Anderson Graduate School of Management, UCLA.
  3. Miyao, Ryuzo, 2002. "The Effects of Monetary Policy in Japan," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(2), pages 376-92, May.
  4. Chakrabarti, Rajesh & Roll, Richard, 2002. "East Asia and Europe during the 1997 Asian collapse: a clinical study of a financial crisis," Journal of Financial Markets, Elsevier, vol. 5(1), pages 1-30, January.
  5. Albert S. Kyle, 2001. "Contagion as a Wealth Effect," Journal of Finance, American Finance Association, vol. 56(4), pages 1401-1440, 08.
  6. Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
  7. Mervyn A. King & Sushil Wadhwani, 1989. "Transmission of Volatility Between Stock Markets," NBER Working Papers 2910, National Bureau of Economic Research, Inc.
  8. Shiller, Robert J. & Kon-Ya, Fumiko & Tsutsui, Yoshiro, 1991. "Investor behavior in the october 1987 stock market crash: The case of Japan," Journal of the Japanese and International Economies, Elsevier, vol. 5(1), pages 1-13, March.
  9. Jian Yang & David A. Bessler, 2004. "The International Price Transmission in Stock Index Futures Markets," Economic Inquiry, Western Economic Association International, vol. 42(3), pages 370-386, July.
  10. Michael S. Haigh & David A. Bessler, 2004. "Causality and Price Discovery: An Application of Directed Acyclic Graphs," The Journal of Business, University of Chicago Press, vol. 77(4), pages 1099-1121, October.
  11. Cooper, Ian & Kaplanis, Evi, 1994. "Home Bias in Equity Portfolios, Inflation Hedging, and International Capital Market Equilibrium," Review of Financial Studies, Society for Financial Studies, vol. 7(1), pages 45-60.
  12. Laura E. Kodres & Matthew Pritsker, 2002. "A Rational Expectations Model of Financial Contagion," Journal of Finance, American Finance Association, vol. 57(2), pages 769-799, 04.
  13. Seyhun, H Nejat, 1990. " Overreaction or Fundamentals: Some Lessons from Insiders' Response to the Market Crash of 1987," Journal of Finance, American Finance Association, vol. 45(5), pages 1363-1388, December.
  14. Anderson, Ronald D. & Vastag, Gyula, 2004. "Causal modeling alternatives in operations research: Overview and application," European Journal of Operational Research, Elsevier, vol. 156(1), pages 92-109, July.
  15. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-708, May.
  16. Ostermark, Ralf, 2001. "Multivariate cointegration analysis of the Finnish-Japanese stock markets," European Journal of Operational Research, Elsevier, vol. 134(3), pages 498-507, November.
  17. Hoover, Kevin D., 2003. "Some causal lessons from macroeconomics," Journal of Econometrics, Elsevier, vol. 112(1), pages 121-125, January.
  18. Siegel, Jeremy J, 1992. "Equity Risk Premia, Corporate Profit Forecasts, and Investor Sentiment around the Stock Crash of October 1987," The Journal of Business, University of Chicago Press, vol. 65(4), pages 557-570, October.
  19. Bernanke, Ben S., 1986. "Alternative explanations of the money-income correlation," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 49-99, January.
  20. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  21. Robins, James M., 2003. "General methodological considerations," Journal of Econometrics, Elsevier, vol. 112(1), pages 89-106, January.
  22. Malliaris, A. G. & Urrutia, Jorge L., 1992. "The International Crash of October 1987: Causality Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(03), pages 353-364, September.
  23. Mitchell, Mark L. & Netter, Jeffry M., 1989. "Triggering the 1987 stock market crash : Antitakeover provisions in the proposed house ways and means tax bill?," Journal of Financial Economics, Elsevier, vol. 24(1), pages 37-68, September.
  24. Burbidge, John & Harrison, Alan, 1985. "An historical decomposition of the great depression to determine the role of money," Journal of Monetary Economics, Elsevier, vol. 16(1), pages 45-54, July.
  25. Daniel Wai-Wah Cheung, 2000. "The Impulse of Stock Market Volatility and the Market Crash of October 1987," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 27(5&6), pages 761-776.
  26. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
  27. Bessler, David A. & Yang, Jian, 2003. "The structure of interdependence in international stock markets," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 261-287, April.
  28. Granger, Clive W. J., 2003. "Some aspects of causal relationships," Journal of Econometrics, Elsevier, vol. 112(1), pages 69-71, January.
  29. Selva Demiralp & Kevin D. Hoover, 2003. "Searching for the Causal Structure of a Vector Autoregression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 745-767, December.
  30. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
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