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The Impulse of Stock Market Volatility and the Market Crash of October 1987

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  • Daniel Wai‐Wah Cheung

Abstract

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.

Suggested Citation

  • Daniel Wai‐Wah Cheung, 2000. "The Impulse of Stock Market Volatility and the Market Crash of October 1987," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 27(5‐6), pages 761-776, June.
    • Handle: RePEc:bla:jbfnac:v:27:y:2000:i:5-6:p:761-776
    DOI: 10.1111/1468-5957.00333
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    Cited by:

    1. Rizvi, Syed Aun R. & Arshad, Shaista & Alam, Nafis, 2018. "A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets," Emerging Markets Review, Elsevier, vol. 34(C), pages 143-161.
    2. Yang, Jian & Bessler, David A., 2008. "Contagion around the October 1987 stock market crash," European Journal of Operational Research, Elsevier, vol. 184(1), pages 291-310, January.
    3. Louis Cheng & Jay White, 2003. "Measuring Pricing Inefficiencies Under Stressful Market Conditions," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(3‐4), pages 383-411, April.

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