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Trading Activity and Price Behavior in the Stock and Stock Index Futures Markets in October 1987

Author

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  • Gammill, James F, Jr
  • Marsh, Terry A

Abstract

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Suggested Citation

  • Gammill, James F, Jr & Marsh, Terry A, 1988. "Trading Activity and Price Behavior in the Stock and Stock Index Futures Markets in October 1987," Journal of Economic Perspectives, American Economic Association, vol. 2(3), pages 25-44, Summer.
    • Handle: RePEc:aea:jecper:v:2:y:1988:i:3:p:25-44
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    Citations

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    Cited by:

    1. Albert S. Kyle & Anna Obizhaeva, 2016. "Large Bets and Stock Market Crashes," Working Papers w0227, Center for Economic and Financial Research (CEFIR).
    2. S. Rao Aiyagari & Mark Gertler, 1999. ""Overreaction" of Asset Prices in General Equilibrium," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 2(1), pages 3-35, January.
    3. Lewis, David K. & Turner, David P. & Winjum, Jack K., 1996. "An inventory-based procedure to estimate economic costs of forest management on a regional scale to conserve and sequester atmospheric carbon," Ecological Economics, Elsevier, vol. 16(1), pages 35-49, January.
    4. Joseph C. Cox & Valerie Preston & Barney Warf, 1991. "The 1987 Crash and the Spatial Incidence of Employment Changes in the New York Metropolitan Region," Urban Studies, Urban Studies Journal Limited, vol. 28(3), pages 327-339, June.
    5. S. Bhaumik & M. Karanasos & A. Kartsaklas, 2008. "Derivatives Trading and the Volume-Volatility Link in the Indian Stock Market," William Davidson Institute Working Papers Series wp935, William Davidson Institute at the University of Michigan.
    6. Albert S. Kyle & Anna Obizhaeva, 2016. "Large Bets and Stock Market Crashes," Working Papers w0227, New Economic School (NES).
    7. repec:cvs:starer:9825 is not listed on IDEAS
    8. repec:fth:starer:9825 is not listed on IDEAS
    9. Antonio E. Bernardo & Ivo Welch, 2004. "Liquidity and Financial Market Runs," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 119(1), pages 135-158.
    10. Albert S. Kyle & Anna A. Obizhaeva, 2020. "Large Bets and Stock Market Crashes," Working Papers w0269, New Economic School (NES).
    11. Bernhard Nietert, 1999. "Dynamische Portfolio-Selektion unter Berücksichtigung von Kurssprüngen," Schmalenbach Journal of Business Research, Springer, vol. 51(9), pages 832-866, September.
    12. repec:fth:starer:98-25 is not listed on IDEAS
    13. Albert S Kyle & Anna A Obizhaeva, 2023. "Large Bets and Stock Market Crashes," Review of Finance, European Finance Association, vol. 27(6), pages 2163-2203.
    14. Bhaumik, S. & Karanasos, M. & Kartsaklas, A., 2016. "The informative role of trading volume in an expanding spot and futures market," Journal of Multinational Financial Management, Elsevier, vol. 35(C), pages 24-40.
    15. Kryzanowski, Lawrence & Switzer, Lorne & Jiang, Li, 1995. "Stock market crash behavior of screen-sorted portfolios," International Review of Economics & Finance, Elsevier, vol. 4(3), pages 227-244.

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