| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w2910 |
| 来源ID | Working Paper 2910 |
| Transmission of Volatility Between Stock Markets | |
| Mervyn A. King; Sushil Wadhwani | |
| 发表日期 | 1989-03-01 |
| 出版年 | 1989 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Macroeconomics |
| URL | https://www.nber.org/papers/w2910 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/560179 |
| 推荐引用方式 GB/T 7714 | Mervyn A. King,Sushil Wadhwani. Transmission of Volatility Between Stock Markets. 1989. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w2910.pdf（324KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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