Contagion around the October 1987 stock market crash
โ Scribed by Jian Yang; David A. Bessler
- Book ID
- 108118163
- Publisher
- Elsevier Science
- Year
- 2008
- Tongue
- English
- Weight
- 504 KB
- Volume
- 184
- Category
- Article
- ISSN
- 0377-2217
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract This study examines the information conveyed by options and examines their implied volatility at the time of the 1997 Hong Kong stock market crash. The author determines the efficiency of implied volatility as a predictor of future volatility by comparing it to other leading indicator c
to trade in underlying stocks. A small weakening in the contemporaneous relationship between stock index futures returns and stock index returns around both types of releases is also documented. This is consistent with disintegration in the relationship between the two markets associated with noise