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Citations for "An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies"

by Sanford J. Grossman

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Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. Shang-Jin Wei & Jungshik Kim, 1997. "The Big Players in the Foreign Exchange Market: Do They Trade on Information or Noise?," NBER Working Papers 6256, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  2. Gary Gorton & Lixin Huang, 2002. "Liquidity, Efficiency and Bank Bailouts," Center for Financial Institutions Working Papers 02-33, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    Other versions:
  3. Robert Engle, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," University of California at San Diego, Economics Working Paper Series 1999-05, Department of Economics, UC San Diego. [Downloadable!]
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  4. Sugato Chakravarty & Asani Sarkar, 1999. "Liquidity in U.S. fixed income markets: a comparison of the bid-ask spread in corporate, government and municipal bond markets," Staff Reports 73, Federal Reserve Bank of New York. [Downloadable!]
  5. Laurent Calvet & Martin Gonzalez-Eiras & Paolo Sodini, 2003. "Financial Innovation, Market Participation and Asset Prices," NBER Working Papers 9840, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  6. 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. [Downloadable!]
  7. Sanford J. Grossman & Merton H. Miller, 1989. "Liquidity and Market Structure," NBER Working Papers 2641, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  8. Patricio Jaramillo & Jorge Selaive, 2006. "Speculative Activity and Copper Price," Working Papers Central Bank of Chile 384, Central Bank of Chile. [Downloadable!]
  9. Frey, Rüdiger, 1996. "The Pricing and Hedging of Options in Finitely Elastic Markets," Discussion Paper Serie B 372, University of Bonn, Germany. [Downloadable!]
  10. Han N. Ozsoylev, 2005. "Amplification and Asymmetry in Crashes and Frenzies," OFRC Working Papers Series 2005fe11, Oxford Financial Research Centre. [Downloadable!]
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  11. John Kambhu, 1997. "Interest rate options dealers' hedging in the US dollar fixed income market," Research Paper 9719, Federal Reserve Bank of New York. [Downloadable!]
  12. Chollete, Lorán, 2009. "The Propagation of Financial Extremes," Discussion Papers 2008/25, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
  13. Avanidhar Subrahmanyam, 1989. "Price Volatility, International Market Links and their Implications for Regulatory Policies," University of California at Los Angeles, Anderson Graduate School of Management 1188, Anderson Graduate School of Management, UCLA. [Downloadable!]
  14. Maurice Peat & M. McCorry, 1997. "Individual Share Futures Contracts: The Economic Impact of Their Introduction on the Underlying Equity Market," Working Paper Series 74, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
  15. Rafiqul Bhuyan, 2002. "Information, Alternative Markets, and Security Price Processes: A Survey of Literature," Finance 0211002, EconWPA. [Downloadable!]
  16. John E. Kambhu, 1998. "Dealers' hedging of interest rate options in the U.S. dollar fixed-income market," Economic Policy Review, Federal Reserve Bank of New York, issue Jun, pages 35-58. [Downloadable!]
  17. Frey, Rüdiger & Alexander Stremme, 1995. "Market Volatility and Feedback Effects from Dynamic Hedging," Discussion Paper Serie B 310, University of Bonn, Germany. [Downloadable!]
  18. K. Ronnie Sircar, George Papanicolaou, 1998. "General Black-Scholes models accounting for increased market volatility from hedging strategies," Applied Mathematical Finance, Taylor and Francis Journals, vol. 5(1), pages 45-82, March. [Downloadable!] (restricted)
  19. Adlai Fisher, 1999. "Multivariate Stock Returns Around Extreme Events: A Reassessment of Economic Fundamentals and the 1987 Market Crash," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-071, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  20. Bronka Rzepkowski, 2003. "Order Flows, Delta Hedging and Exchange Rate Dynamics," Working Papers 2003-18, CEPII research center. [Downloadable!]
  21. R. Andergassen, 2002. "financial contagion and asset price dynamics," Working Papers 448, Dipartimento Scienze Economiche, Universita' di Bologna. [Downloadable!]
  22. Thomas Kraus & Heinz Zimmermann, 2002. "Stock Option Listings:Information versus Liquidity Effects," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 138(I), pages 83-97, March. [Downloadable!]
  23. Pradipkumar Ramanlal & Steven Mann, 1998. "Portfolio Insurance Strategies when Hedging Affects Share Prices," Journal of Financial Services Research, Springer, vol. 13(1), pages 23-35, February. [Downloadable!] (restricted)
  24. Jun Pan & Allen Poteshman, 2004. "The Information of Option Volume for Future Stock Prices," NBER Working Papers 10925, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  25. A. Chatrath & F. Song & B. Adrangi, 2003. "Futures trading activity and stock price volatility: some extensions," Applied Financial Economics, Taylor and Francis Journals, vol. 13(9), pages 655-664, September. [Downloadable!] (restricted)
  26. Bensaid, B. & De Bandt, O., 1996. "Les strategies de "Stop Loss" : Theorie et application au contrat notionnel du MATIF," Documents de Travail 36, Banque de France. [Downloadable!]
  27. Lasse H. Pedersen & Markus Brunnermeier, 2004. "Predatory Trading," Econometric Society 2004 North American Winter Meetings 425, Econometric Society. [Downloadable!]
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  28. Antonio Scalia & Valerio Vacca, 1999. "Does Market Transparency Matter? a Case Study," Temi di discussione (Economic working papers) 359, Bank of Italy, Economic Research Department. [Downloadable!]
  29. David Romer, 1992. "Rational Asset Price Movements Without News," NBER Working Papers 4121, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  30. Frankel, David M., 2007. "Adaptive Expectations and Stock Market Crashes," Staff General Research Papers 12817, Iowa State University, Department of Economics. [Downloadable!]
  31. Joseph K.W. Fung, 2006. "Order Imbalance and the Pricing of Index Futures," Working Papers 132006, Hong Kong Institute for Monetary Research. [Downloadable!]
  32. Chollete, Lorán, 2008. "The Propagation of Financial Extremes: An Application to Subprime Market Spillovers," Discussion Papers 2008/2, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
  33. Tro Kortian, 1995. "Modern Approaches to Asset Price Formation: A Survey of Recent Theoretical Literature," RBA Research Discussion Papers rdp9501, Reserve Bank of Australia. [Downloadable!]
  34. Jennifer Huang & Jiang Wang, 2008. "Liquidity and Market Crashes," NBER Working Papers 14013, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  35. Terry Marsh & Takao Kobayashi, 2001. "The Contributions of Professors Fischer Black, Robert Merton, and Myron Scholes to the Financial Services Industry," CIRJE F-Series CIRJE-F-120, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  36. Bernard Bensaid & Olivier De Bandt, 2000. "Les stratégies 'stop-loss' : théorie et application au Contrat Notionnel du Matif," Annales d'Economie et de Statistique, ADRES, issue 58, pages 03, Avril-Jui. [Downloadable!]
  37. Harrison Hong & Jeremy C. Stein, 1999. "Differences of Opinion, Rational Arbitrage and Market Crashes," NBER Working Papers 7376, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  38. E. Agliardi & R. Andergassen, 2002. "Feedback effects of dynamic hedging strategies in the presence of transaction costs," Working Papers 445, Dipartimento Scienze Economiche, Universita' di Bologna. [Downloadable!]
  39. John Kambhu & Patricia C. Mosser, 2001. "The effect of interest rate options hedging on term-structure dynamics," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 51-70. [Downloadable!]
  40. K. John & A. Koticha & R. Narayanan, . "Margin Rules, Informed Trading in Derivatives and Price Dynamics," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-047, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  41. Keith Sill, 1997. "The economic benefits and risks of derivative securities," Business Review, Federal Reserve Bank of Philadelphia, issue Jan, pages 15-26. [Downloadable!]
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This page was last updated on 2010-1-1.

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