The International Crash of October 1987: Causality Tests

@article{Malliaris1992TheIC,
  title={The International Crash of October 1987: Causality Tests},
  author={A. G. Malliaris and Jorge Luis Urrutia},
  journal={Journal of Financial and Quantitative Analysis},
  year={1992},
  volume={27},
  pages={353 - 364}
}
Abstract The paper analyzes lead-lag relationships for six major stock market indexes: New York S&P 500, Tokyo Nikkei, London FT–30, Hong Kong Hang Seng, Singapore Straits Times, and Australia All Ordinaries, for time periods before, during, and after the October 1987 market crash. Unidirectional and bidirectional causality tests are conducted by means of the Granger methodology. Practically no lead-lag relationships are found for the pre-crash and post-crash periods. However, important… 

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