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The Impulse of Stock Market Volatility and the Market Crash of October 1987
Author(s) -
Cheung Daniel WaiWah
Publication year - 2000
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/1468-5957.00333
Subject(s) - crash , volatility (finance) , stock market crash , stock market , variance decomposition of forecast errors , financial economics , economics , stock (firearms) , stock market bubble , stock market volatility , implied volatility , econometrics , business , monetary economics , geography , computer science , context (archaeology) , archaeology , programming language
This paper employs the technique of variance decomposition and impulse response functions to examine the dynamic nature of stock market volatility relationships among six major countries during the pre, around, and post October 1987 crash period. During the period around the crash, the US stock market volatility explains much better the variations of the stock market volatility of Australia, Hong Kong, Japan, Singapore and the UK. Our findings clearly indicate that the crash originated in the US and then spread to other major stock markets.