Transmission of Volatility between Stock Markets

  title={Transmission of Volatility between Stock Markets},
  author={Mervyn A. King and Sushil B. Wadhwani},
  journal={NBER Working Paper Series},
This paper investigates why, in October 1987, almost all stock markets fell together despite widely differing economic circumstances. The idea is that "contagion" between markets occurs as the result of attempts by rational agents to infer information from price changes in other markets. This provides a channel through which a "mistake" in one market can be transmitted to other markets. Hourly stock price data from New York, Tokyo and London during an eight month period around the crash offer… 
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Commentary: Price volatility, international market links, and their implications for regulatory policies
Roll’s article is interesting and contains an impressively comprehensive discussion of the issues at hand. I agree with much of what is said, although there are some issues on which, inevitably, our