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Has programmed trading made stock prices more volatile?

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  • G. J. Santoni

Abstract

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Suggested Citation

  • G. J. Santoni, 1987. "Has programmed trading made stock prices more volatile?," Review, Federal Reserve Bank of St. Louis, issue May, pages 18-29.
  • Handle: RePEc:fip:fedlrv:y:1987:i:may:p:18-29
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    File URL: https://files.stlouisfed.org/files/htdocs/publications/review/87/05/Programmed_May1987.pdf
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    File URL: https://fraser.stlouisfed.org/scribd/?toc_id=499866&filepath=/docs/publications/frbslreview/rev_stls_198705.pdf&start_page=18#scribd-open
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    References listed on IDEAS

    as
    1. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    2. Michael T. Belongia, 1983. "Commodity options: a new risk management tool for agricultural markets," Review, Federal Reserve Bank of St. Louis, issue Jun, pages 5-15.
    3. Phillip Cagan, 1981. "Financial futures markets: Is more regulation needed?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 1(2), pages 169-189, June.
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    Cited by:

    1. Chatrath, Arjun & Ramchander, Sanjay & Song, Frank, 1998. "Speculative activity and stock market volatility," Journal of Economics and Business, Elsevier, vol. 50(4), pages 323-337, July.
    2. Evangelos Drimbetas & Nikolaos Sariannidis & Nicos Porfiris, 2007. "The effect of derivatives trading on volatility of the underlying asset: evidence from the Greek stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 17(2), pages 139-148.

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    Keywords

    Futures ; Stock - Prices ; Stock market;

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