Global co-movements of stock markets before and after the 1987 crash

Ilhan Meric, Gulser Meric

Research output: Chapter in Book/Report/Conference proceedingChapter

Abstract

Introduction The international stock market crash of October 1987 has received considerable attention in finance literature.1 Roll (1988), Goodhart (1988), King and Wadhwani (1990), Hamao et al. (1990), and Malliaris and Urrutia (1992) have studied the transmission of volatility between international stock markets during the crash. Arshanapalli and Doukas (1993), Lau and Mclnish (1993), and Lee and Kim (1993) have compared the comovements of national stock markets before and after the crash.

Original languageEnglish (US)
Title of host publicationThe Global Structure of Financial Markets
Subtitle of host publicationAn Overview
PublisherTaylor and Francis
Pages110-121
Number of pages12
ISBN (Electronic)9781134779499
ISBN (Print)0415135494, 9780415135498
DOIs
StatePublished - Jan 1 2005

    Fingerprint

All Science Journal Classification (ASJC) codes

  • Economics, Econometrics and Finance(all)
  • Business, Management and Accounting(all)

Cite this

Meric, I., & Meric, G. (2005). Global co-movements of stock markets before and after the 1987 crash. In The Global Structure of Financial Markets: An Overview (pp. 110-121). Taylor and Francis. https://doi.org/10.4324/9780203978559-14