1989/09/01 by Marshall E. Blume, A. Craig MacKinlay, Bruce E. Terker · 4 citations
Economics, Econometrics and Finance · #Market Dynamics and Volatility #Complex Systems and Time Series Analysis #Monetary Policy and Economic Impact #Stock (firearms) #Index (typography) #Stock price #Capitalization-weighted index #Stock market index #Economics #Financial economics #Linkage (software) #Order (exchange) #Econometrics #Stock market #Cost price #Biology #Geography #Finance #Series (stratigraphy) #Computer science #Genetics
paper · doi:10.1111/j.1540-6261.1989.tb02626.x
openalex publication_date 1989/09/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/06/11
ABSTRACT On October 19, 1987, NYSE stocks in the S&P index declined seven percentage points more than NYSE stocks not in this index. In the first hour of trading on October 20, the S&P stocks virtually recovered to the level of the non‐S&P stocks. There is a strong relation between order imbalances and stock price movements, both in analyses of time series and cross‐sections. Thus, in addition to the breakdown in the linkage between future prices and the spot index on these two days, there were also breakdowns in the linkage among NYSE stocks.