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 language | English |
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| Pages | 299-304 |
| Number of pages | 6 |
| State | Published - 1 Dec 1990 |
| Event | Proceedings of the Twenty-First Annual Pittsburgh Conference Part 4 (of 5) - Pittsburgh, PA, USA Duration: 3 May 1990 → 4 May 1990 |
Conference
| Conference | Proceedings of the Twenty-First Annual Pittsburgh Conference Part 4 (of 5) |
|---|---|
| City | Pittsburgh, PA, USA |
| Period | 3/05/90 → 4/05/90 |
ASJC Scopus subject areas
- General Engineering