A note on market integration before and after the stock crash in October 1987

Gordon Y N TANG; Billy S C MAK

doi:10.1080/135048595357492

A note on market integration before and after the stock crash in October 1987

Gordon Y N TANG, Billy S C MAK

Research output: Contribution to journal › Journal article › peer-review

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Abstract

Potential gains from international diversification depend upon the degree of market integration. This paper compares the degree of market integration before and after the stock crash in October 1987 and tests whether the results differ across different investment horizons. Empirical results show that the potential gains from diversification are greatly reduced to an increase in the correlation between stock markets after the stock crash. Our results are robust over different investment horizons.

Original language	English
Pages (from-to)	151-155
Number of pages	5
Journal	Applied Economics Letters
Volume	2
Issue number	5
DOIs	https://doi.org/10.1080/135048595357492
Publication status	Published - 1 May 1995

Scopus Subject Areas

Economics and Econometrics

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10.1080/135048595357492

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title = "A note on market integration before and after the stock crash in October 1987",

abstract = "Potential gains from international diversification depend upon the degree of market integration. This paper compares the degree of market integration before and after the stock crash in October 1987 and tests whether the results differ across different investment horizons. Empirical results show that the potential gains from diversification are greatly reduced to an increase in the correlation between stock markets after the stock crash. Our results are robust over different investment horizons.",

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AB - Potential gains from international diversification depend upon the degree of market integration. This paper compares the degree of market integration before and after the stock crash in October 1987 and tests whether the results differ across different investment horizons. Empirical results show that the potential gains from diversification are greatly reduced to an increase in the correlation between stock markets after the stock crash. Our results are robust over different investment horizons.

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A note on market integration before and after the stock crash in October 1987

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