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Transmission of Volatility Between Stock Markets
Open accessAbstract
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 support for the contagion model. In addition, the magnitude of the contagion coefficients are found to increase with volatility.
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Citations
Cited by
Competition and Financial Stability
Allen, F., & Gale, D. (2004) · Journal of Money, Credit, and Banking · doi:10.1353/mcb.2004.0038 · Cited by 1,137
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
ANTÓN, M., & POLK, C. (2014) · The Journal of Finance · doi:10.1111/jofi.12149 · Cited by 367
Metadata
- Authors
- King, M., & Wadhwani, S.
- Venue
- National Bureau of Economic Research
- Publisher
- National Bureau of Economic Research
- Published
- 1989-03
- OpenAlex
- W2891540749
- Cited by
- 1,516
- References
- 0
- Type
- report
- Language
- en
- Open access
- green
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- CoChat. (2026). Citation check: Transmission of Volatility Between Stock Markets. https://app.cochat.ai/papers/10.3386/w2910
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- King, M., & Wadhwani, S. (1989). Transmission of Volatility Between Stock Markets. National Bureau of Economic Research. https://doi.org/10.3386/w2910
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.
