DP307 Structure and Performance: Global Interdependence of Stock Markets Around the Crash of October 1987
|Author(s):||Elisabetta Bertero, Colin Mayer|
|Publication Date:||March 1989|
|Keyword(s):||Capital Markets, Stock Market, Stock Market Crash|
|Programme Areas:||International Macroeconomics, Applied Macroeconomics|
|Link to this Page:||cepr.org/active/publications/discussion_papers/dp.php?dpno=307|
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.