Transmission of volatility between stock markets
NBER Working Paper No.
This paper investigates why, in October , almost all stock markets fell together despite widely differing economic circumstances.
The idea is that "contagion" between markets occurs as the 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.
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Hourly stock price data from New York, Tokyo and London during an eight month period around the crash offer support for the contagion model. In addition, the magnitude of the contagion coefficients are found to increase with volatility. Machine-readable bibliographic record - MARC , RIS , BibTeX. Review of Financial Studies , Vol.
Transmission of Volatility Between Stock Markets | Mervyn King - omenejomy.web.fc2.com
About Us Contact Information Historical Archives. Transmission of Volatility Between Stock Markets Mervyn A. King , Sushil Wadhwani NBER Working Paper No.
ME This paper investigates why, in October , almost all stock markets fell together despite widely differing economic circumstances. King, Sentana, and Wadhwani w Volatiltiy and Links Between National Stock Markets Forbes and Rigobon w No Contagion, Only Interdependence: Measuring Stock Market Co-movements Lin, Engle, and Ito w Do Bulls and Bears Move Across Borders? National Bureau of Economic Research, Massachusetts Ave.
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Data Boston Census Research Data Center BRDC. He is also the Mitsui Professor of Economics at M. Denis Healy, Director of Development NBER Massachusetts Avenue Cambridge, MA ph: Measuring Stock Market Co-movements.
Transmission of Volatility Between Stock Markets
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