The International Crash of October 1987: Causality Tests

@article{Malliaris1992TheIC,
  title={The International Crash of October 1987: Causality Tests},
  author={A. Malliaris and J. Urrutia},
  journal={Journal of Financial and Quantitative Analysis},
  year={1992},
  volume={27},
  pages={353-364}
}
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 feedback… Expand

Tables from this paper

CAUSALITY AMONG NEW YORK, LONDON, TOKYO AND HONG KONG STOCK MARKETS
Interdependencies Among the Irish, British and German Stock Markets
Contagion Around the October 1987 Stock Market Crash
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