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Has programmed trading made stock prices more volatile?

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  • G. J. Santoni

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  • 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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    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, vol. 65(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.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Spyros I. Spyrou, 2005. "Index Futures Trading and Spot Price Volatility," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 4(2), pages 151-167, August.
    2. 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.
    3. Gary Robinson, 1993. "The Effect of Futures Trading on Cash Market Volatility: Evidence from the London Stock Exchange," Bank of England working papers 19, Bank of England.
    4. Nikolaos Sariannidis & Evangelos Drimbetas, 2008. "Impact of international volatility and the introduction of Individual Stock Futures on the volatility of a small market," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 119-119.
    5. Ikhlaas Gurrib, 2018. "Can an Energy Futures Index Predict US Stock Market Index Movements?," International Journal of Energy Economics and Policy, Econjournals, vol. 8(5), pages 230-240.
    6. Chyi Lee & Simon Stevenson & Ming-Long Lee, 2014. "Futures Trading, Spot Price Volatility and Market Efficiency: Evidence from European Real Estate Securities Futures," The Journal of Real Estate Finance and Economics, Springer, vol. 48(2), pages 299-322, February.
    7. 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.
    8. Imran Riaz Malik & Attaullah Shah, 2016. "Resumption of Single Stock Futures (SSFs) with Stringent Regulations and their Impact on the Risk Characteristics of the Underlying Stocks," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 8(2), pages 1-22, October.

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