The Impulse of Stock Market Volatility and the Market Crash of October 1987

Daniel Wai‐Wah Cheung

Journal of Business Finance & Accounting, 2000, vol. 27, issue 5‐6, 761-776

Abstract: This paper employs the technique of variance decomposition and impulse response functions to examine the dynamic nature of stock market volatility relationships among six major countries during the pre, around, and post October 1987 crash period. During the period around the crash, the US stock market volatility explains much better the variations of the stock market volatility of Australia, Hong Kong, Japan, Singapore and the UK. Our findings clearly indicate that the crash originated in the US and then spread to other major stock markets.

Date: 2000
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