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Meltdown of 1987 and meteor showers among Pacific-Basin stock markets

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  • Taufiq Choudhry

Abstract

This paper investigates stock market mean returns and volatility spill-over between four major Pacific-Basin markets before and after the 1987 world wide stock exchange crash. The four markets used are Australia, Hong Kong, Japan and Singapore and the empirical tests are conducted by means of a nonlinear GARCH-t model. Results indicate an increase in both the mean returns and volatility spillover after the 1987 crash. This result confirms that since the 1987 crash interdependence between equity markets has increased.

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  • Taufiq Choudhry, 2000. "Meltdown of 1987 and meteor showers among Pacific-Basin stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 10(1), pages 71-80.
    • Handle: RePEc:taf:apfiec:v:10:y:2000:i:1:p:71-80
    DOI: 10.1080/096031000331941
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