The Impulse of Stock Market Volatility and the Market Crash of October 1987
用方差分解和脉冲响应函数，研究1987年10月崩盘前后六个主要国家股市波动的关系，发现崩盘源于美国并蔓延至其他市场。
This paper employs the technique of variance decomposition and impulse response functions to examine the dynamic nature of stock market volatility relationships among six major countries during the pre, around, and post October 1987 crash period. During the period around the crash, the US stock market volatility explains much better the variations of the stock market volatility of Australia, Hong Kong, Japan, Singapore and the UK. Our findings clearly indicate that the crash originated in the US and then spread to other major stock markets.