A NOTE ON MARKET INTEGRATION BEFORE AND AFTER THE STOCK CRASH IN OCTOBER 1987

被引：0
|
作者：
TANG, GYN
MAK, BSC
机构：
[1] Department of Finance and Decision Sciences, Hong Kong Baptist University, Kowloon
来源：
APPLIED ECONOMICS LETTERS | 1995年 / 2卷 / 05期
关键词：
D O I：
10.1080/135048595357492
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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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页码：151 / 155
页数：5
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