Has programmed trading made stock prices more volatile?
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References listed on IDEAS
- 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.
- 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.
- 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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- 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.
- 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.
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KeywordsFutures ; Stock - Prices ; Stock market;
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