1991 Reports

The effect of the 1987 Stock Crash on international financial integration

Hamao, Yasushi; Masulis, Ronald W.; Ng, Victor

This paper examines daily open-to-close returns from three major stock markets over the past five years including the October 1987 Stock Market Crash. We find some evidence that volatility spillover effects emanating from Japan have been gathering strength over time, especially after the 1987 Crash. This may be attributed to a growing awareness of domestic investors about the economic interdependence of international financial markets.