TY  - JOUR
AU  - King,Mervyn A.
AU  - Wadhwani,Sushil
TI  - Transmission of Volatility Between Stock Markets
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 2910
PY  - 1989
Y2  - March 1989
UR  - http://www.nber.org/papers/w2910
L1  - http://www.nber.org/papers/w2910.pdf
N1  - Author contact info:
Mervyn A. King
Governor
Bank of England
Threadneedle Street
London EC2R 8AH
 UNITED KINGDOM
Tel: 44-20-7601-4963
Fax: 44-20-7601-4953
E-Mail: mervyn.king@bankofengland.co.uk

Sushil Wadhwani
E-Mail: sushilw@waniasset.com
AB  - 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.
ER  -