Malliaris, A. G.; Urrutia, Jorge L. - In: Journal of Financial and Quantitative Analysis 27 (1992) 03, pp. 353-364
The paper analyzes lead-lag relationships for six major stock market indexes: New York S&P 500, Tokyo Nikkei, London FT–30, Hong Kong Hang Seng, Singapore Straits Times, and Australia All Ordinaries, for time periods before, during, and after the October 1987 market crash. Unidirectional and...
