Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/142171
Authors: 
Kurz-Kim, Jeong-Ryeol
Year of Publication: 
2016
Series/Report no.: 
Discussion Paper, Deutsche Bundesbank 18/2016
Abstract: 
Using a simple sign test, we report new empirical evidence, taken from both the US and the German stock markets, showing that trading behavior substantially changed around Black Monday in 1987. It turned out that before Black Monday investors behaved more as in the momentum strategy; and after Black Monday more as in the contrarian strategy. We argue that crashes, in general, themselves are merely a manifestation of uncertainty on stock markets and the high uncertainty due to globalization is mainly responsible for this change.
Subjects: 
Trading behavior
Momentum
Contrarian
Black Monday
Globalization
Uncertainty
JEL: 
C12
G02
G11
ISBN: 
978-3-95729-262-9
Document Type: 
Working Paper

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