NBER Working Paper No.

This paper investigates why, in October , 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. King, Mervyn and Wadhwani, Sushil, Transmission of Volatility between Stock Markets March Threadneedle Street London, EC2R 8AH United Kingdom Phone Fax.

Transmission of Volatility between Stock Markets by Mervyn King, Sushil Wadhwani :: SSRN

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No Contagion, Only Interdependence: Measuring Stock Market Co-Movements. By Kristin Forbes and Roberto Rigobon. Asymmetric Correlations of Equity Portfolios. By Joseph Chen and Andrew Ang. Correlations in Price Changes and Volatility across International Stock Markets. By Yasushi Hamao , Ronald Masulis , Volatiltiy and Links between National Stock Markets. By Mervyn King , Enrique Sentana , A New Approach to Measuring Financial Contagion.

By Kee-hong Bae , George Karolyi , Why Do Markets Move Together? An Investigation of U. Financial Market Contagion in the Asian Crisis. By Taimur Baig and Ilan Goldfajn. Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns. By Wenling Lin , Robert Engle , Market Integration and Contagion.

Transmission of volatility between stock markets (Book, ) [gedyfej.web.fc2.com]

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Download this Paper Open PDF in Browser Share: Using the URL or DOI link below will ensure access to this page indefinitely. Mervyn King Bank of England; National Bureau of Economic Research NBER Sushil Wadhwani Bank of England - Monetary Policy Committee. Abstract This paper investigates why, in October , almost all stock markets fell together despite widely differing economic circumstances.

King Contact Author Bank of England email Threadneedle Street London, EC2R 8AH United Kingdom Phone Fax. National Bureau of Economic Research NBER Massachusetts Avenue Cambridge, MA United States. Download this Paper Open PDF in Browser.

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Recommended Papers No Contagion, Only Interdependence: Measuring Stock Market Co-Movements By Kristin Forbes and Roberto Rigobon Asymmetric Correlations of Equity Portfolios By Joseph Chen and Andrew Ang Correlations in Price Changes and Volatility across International Stock Markets By Yasushi Hamao , Ronald Masulis , Volatiltiy and Links between National Stock Markets By Mervyn King , Enrique Sentana , A New Approach to Measuring Financial Contagion By Kee-hong Bae , George Karolyi , Financial Market Contagion in the Asian Crisis By Taimur Baig and Ilan Goldfajn Do Bulls and Bears Move Across Borders?

International Transmission of Stock Returns and Volatility as the World Turns By Wenling Lin , Robert Engle , Market Integration and Contagion By Geert Bekaert , Campbell Harvey , Eastern, Monday - Friday. Submit a Paper Section Text Only Pages. Quick Links Research Paper Series Conference Papers Partners in Publishing Organization Homepages Newsletter Sign Up. Rankings Top Papers Top Authors Top Organizations. About SSRN Objectives Network Directors Presidential Letter Announcements Contact us FAQs.

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