One Market? Stocks, Futures, and Options during October 1987
AbstractThe authors provide new evidence regarding the degree of integration among markets for stocks, futures, and options prior to and during the October 1987 market crash. Where previous analyses have resulted in recommendations for the implementation of circuit breakers, the coordination of margin requirements across markets, and changes in regulatory jurisdiction, their analysis indicates that delinkage between markets during the crash was primarily caused by an antiquated mechanism for processing stock-market orders. The results suggest that market integration may be better served by efficient order execution than by further restricting markets. Copyright 1992 by American Finance Association.
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Bibliographic InfoArticle provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 47 (1992)
Issue (Month): 3 (July)
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- Joseph K.W. Fung, 2006. "Order Imbalance and the Pricing of Index Futures," Working Papers 132006, Hong Kong Institute for Monetary Research.
- Joseph K.W. Fung & Philip Yu, 2007. "Order Imbalance and the Dynamics of Index and Futures Prices," Working Papers 072007, Hong Kong Institute for Monetary Research.
- Ghysels, Eric & Seon, Junghoon, 2005. "The Asian financial crisis: The role of derivative securities trading and foreign investors in Korea," Journal of International Money and Finance, Elsevier, vol. 24(4), pages 607-630, June.
- Nilsson, Roland, 2008. "The value of shorting," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 880-891, May.
- deB. Harris, Frederick H. & McInish, Thomas H. & Chakravarty, Ranjan R., 1995. "Bids and asks in disequilibrium market microstructure: The case of IBM," Journal of Banking & Finance, Elsevier, vol. 19(2), pages 323-345, May.
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