Behavior of stock prices around the market crash (October 1987 analysis, and simulation)

Uri Ben-Zion, Eyal Gutman, Steven Brahams, Emanuel Egbe

Research output: Contribution to conferencePaperpeer-review

Abstract

The October 1987 crash enables us to analyze the behavior of stock prices in unexpected market decline and a 'panic'. We are also able to develop and evaluate several alternative simulations of behavior rules for rational investors before and after the crash day October 19. We can test different strategies for investors to protect themselves and to benefit from the price reaction in the crash. In this paper, the authors use individual stocks data on 473 firms of the S & P 500 that were available to investors on the day of the crash, and the price behavior of these securities in the crash. These data enable them to perform simulations and to develop strategies for investors.

Original languageEnglish
Pages299-304
Number of pages6
StatePublished - 1 Dec 1990
EventProceedings of the Twenty-First Annual Pittsburgh Conference Part 4 (of 5) - Pittsburgh, PA, USA
Duration: 3 May 19904 May 1990

Conference

ConferenceProceedings of the Twenty-First Annual Pittsburgh Conference Part 4 (of 5)
CityPittsburgh, PA, USA
Period3/05/904/05/90

ASJC Scopus subject areas

  • Engineering (all)

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