Review of Financial Studies Vol. 3 No. 1 1990
Transmission of Volatility between Stock Markets
Abstract
[This article investigates why, in October 1987, almost all stock markets fell together despite widely differing economic circumstances. We construct a model in which "contagion" between markets occurs as a 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. We offer supporting evidence for contagion effects using two different sources of data.]
- Volume
- 3
- Issue
- 1
- Pages
- 5-33
- Sources
- bibtex:phds-export.bib