The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Transmission of Volatility between Stock Markets
Abstract
This article investigates why, in October 1987, almost all stock markets fell together despite widely differing economic circumstances. We construct a model in which “contagion” between markets occurs as a 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. We offer supporting evidence for contagion effects using two different sources of data.
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Citations
Cites
Correlations in price changes and volatility across international stock markets
Hamao, Y., Masulis, R. W., & Ng, V. (1990) · Review of Financial Studies · doi:10.1093/rfs/3.2.281 · Cited by 1,926
Cited by
Dynamic correlation analysis of financial contagion: Evidence from Asian markets
Chiang, T. C., Jeon, B. N., & Li, H. (2007) · Journal of International Money and Finance · doi:10.1016/j.jimonfin.2007.06.005 · Cited by 894
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility
Lin, W.-L., Engle, R. F., & Ito, T. (1994) · Review of Financial Studies · doi:10.1093/rfs/7.3.507 · Cited by 873
International stock market linkages: Evidence from the pre- and post-October 1987 period
Arshanapalli, B., & Doukas, J. (1993) · Journal of Banking & Finance · doi:10.1016/0378-4266(93)90088-u · Cited by 561
ANTÓN, M., & POLK, C. (2014) · The Journal of Finance · doi:10.1111/jofi.12149 · Cited by 367
Metadata
- Authors
- King, M. A., & Wadhwani, S.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 1990-01
- Volume
- 3
- Issue
- 1
- Pages
- 5-33
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W2149908462
- Cited by
- 1,586
- References
- 1
- FWCI
- 18.44
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: Transmission of Volatility between Stock Markets. https://app.cochat.ai/papers/10.1093/rfs/3.1.5
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- King, M. A., & Wadhwani, S. (1990). Transmission of Volatility between Stock Markets. Review of Financial Studies. https://doi.org/10.1093/rfs/3.1.5
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
