STOCK-MARKET CRASHES AND THE PERFORMANCE OF CIRCUIT-BREAKERS - EMPIRICAL-EVIDENCE

• 成果类型: Note
• 署名作者: LAUTERBACH, B; BENZION, U
• 署名单位: Technion Israel Institute of Technology
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329072
• 发表日期: 1993
• 页码: 1909-1925
• 关键词: volatility; RISK

摘要

This study examines the behavior of a small stock market with circuit breakers and with a one-hour preauction order imbalance disclosure, during the October 1987 crash. The crash and its aftershocks lasted for a week and selling pressure was concentrated in higher beta, larger capitalization, and lower leverage firm stocks. Circuit breakers when implemented reduced the next-day opening order imbalance and the initial price loss; however, they had no effect on the long-run response. Some price overreaction and reversal phenomena also are documented.