Structure and Performance: Global Interdependence of Stock Markets Around the Crash of October 1987

Elisabetta Bertero and Colin Mayer ()

No 307, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: 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.

Keywords: Capital Markets; Stock Market; Stock Market Crash (search for similar items in EconPapers)
Date: 1989-03
References: Add references at CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://www.cepr.org/active/publications/discussion_papers/dp.php?dpno=307 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Journal Article: Structure and performance: Global interdependence of stock markets around the crash of October 1987 (1990)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cpr:ceprdp:307

Ordering information: This working paper can be ordered from
http://www.cepr.org/ ... pers/dp.php?dpno=307

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().