TY  - JOUR
AB  - This study examined the level of interdependecies which existed among several major equity markets around the October 19, 1987, crash. Three different statistical techniques were utilized to analyze daily data for three months before and after the crash. All three techniques revealed that the major equity markets were more closely integrated during the post‐crash subperiod than the pre‐crash subperiod. The existence of the uni‐directional causality from the U.S. to Canada and from the U.S. to U.K. and bi‐directional causality between the U.S. and Japan during the post‐crash subperiod indicate that the U.S. market volatility contributed to the volatility in the foreign markets.
VL  - 1
IS  - 1/2
SN  - 1056-9219
DO  - 10.1108/eb047276
UR  - https://doi.org/10.1108/eb047276
AU  - Mansur Iqbal
PY  - 1991
Y1  - 1991/01/01
TI  - COVARIABILITY OF MAJOR EQUITY MARKETS AROUND THE OCTOBER 1987 CRASH: TESTS OF GRANGER CAUSALITY
T2  - International Journal of Commerce and Management
PB  - MCB UP Ltd
SP  - 90
EP  - 101
Y2  - 2024/04/19
ER  -