Citation

Discussion Paper Details

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Title: Structure and Performance: Global Interdependence of Stock Markets Around the Crash of October 1987

Author(s): Elisabetta Bertero and Colin Mayer

Publication Date: March 1989

Keyword(s): Capital Markets, Stock Market and Stock Market Crash

Programme Area(s): Applied Macroeconomics and International Macroeconomics

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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Bibliographic Reference

Bertero, E and Mayer, C. 1989. 'Structure and Performance: Global Interdependence of Stock Markets Around the Crash of October 1987'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=307