Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If you need an accessible version of this item please contact JSTOR User Support

Program Trading and Price Movement: Evidence from the October 1987 Market Crash

Dean Furbush
Financial Management
Vol. 18, No. 3 (Autumn, 1989), pp. 68-83
Published by: Wiley on behalf of the Financial Management Association International
Stable URL: http://www.jstor.org/stable/3665650
Page Count: 16
  • Read Online (Free)
  • Cite this Item
If you need an accessible version of this item please contact JSTOR User Support
Program Trading and Price Movement: Evidence from the October 1987 Market Crash
Preview not available

Abstract

Intraday data on program trading for October 14-20, 1987 are used to examine the relation between types of program trading and price movement. The S&P 500 stocks are correlated with their derivative futures contract. The association, confirmed for the days leading up to the crash, is not found on the day of the crash and controlling for nonsynchronous trading does not improve the fit. Before the day of the crash, program trading is found to be associated with price movement in the expected direction, but the association disappears on October 19 and 20.

Page Thumbnails

  • Thumbnail: Page 
68
    68
  • Thumbnail: Page 
69
    69
  • Thumbnail: Page 
70
    70
  • Thumbnail: Page 
71
    71
  • Thumbnail: Page 
72
    72
  • Thumbnail: Page 
73
    73
  • Thumbnail: Page 
74
    74
  • Thumbnail: Page 
75
    75
  • Thumbnail: Page 
76
    76
  • Thumbnail: Page 
77
    77
  • Thumbnail: Page 
78
    78
  • Thumbnail: Page 
79
    79
  • Thumbnail: Page 
80
    80
  • Thumbnail: Page 
81
    81
  • Thumbnail: Page 
82
    82
  • Thumbnail: Page 
83
    83