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Major World Equity Market Interdependence a Decade After the 1987 Crash: Evidence From Cross Spectral Analysis (1999)

Smith, Kenneth L.

Oxford, UK and Boston, USA : Blackwell Publishers Ltd

Journal of business finance & accounting 26 (1999), S. 0

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ISSN: 1468-5957

Source: Blackwell Publishing Journal Backfiles 1879-2005

Topics: Economics

Notes: Several studies have focused on the pre- post-October 1987 crash. Results indicate that major market equity correlations rose during the crash period. Cross spectral analysis is applied to six of the G-7 markets to determine whether frequency domain correlations have increased post-crash relative to the pre-crash period. The results indicate that correlations have increased for most of the markets studied. Most striking are the increased post-crash correlations among the three European markets, in light of the European Union. Additional evidence shows mixed results regarding frequency domain phase leads among the markets.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1111/1468-5957.00260

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