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Publication year
Stock Market Crashes and the Performance of Circuit Breakers: Empirical Evidence.
Resource type
Authors/contributors
- Ben-Zion, Uri (Author)
- Lauterbach, Beni (Author)
Title
Stock Market Crashes and the Performance of Circuit Breakers: Empirical Evidence.
Abstract
This study examines the behavior of a small stock market with circuit breakers and with a one-hour preauction order imbalance disclosure during the October 1987 crash. The crash and its aftershocks lasted for a week and selling pressure was concentrated in higher beta, larger capitalization, and lower leverage firm stocks. Circuit breakers when implemented reduced the next-day opening order imbalance and the initial price loss; however, they had no effect on the long-run response. Some price overreaction and reversal phenomena also are documented.
Publication
The Journal of Finance
Volume
48
Issue
5
Pages
1909-25
Date
1993-12
Citation
Ben-Zion, U., & Lauterbach, B. (1993). Stock Market Crashes and the Performance of Circuit Breakers: Empirical Evidence. The Journal of Finance, 48, 1909–1925.
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