Has Programmed Trading Made Stock Prices More Volatile?

Gary J. Santoni

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

Abstract

Numerous commentators have claimed that the recent application of computer techniques to monitor price differences and trigger trades between the spot, futures and options markets for stocks (called programmed trading) has increased the volatility of stock prices.

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References

1973The Pricing of Options and Corporate Liabilities 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1970Efficient Capital Markets: A Review of Theory and Empirical Work 1981Principles of Corporate Finance.2019The Pricing of Options and Corporate Liabilities 1984Hedging Performance and Basis Risk in Stock Index Futures 1987Program Trading and Expiration-Day Effects 1983The pricing of stock index futures

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2006Do the Forward Sales of Real Estate Stabilize Spot Prices?2020Stock index futures trading impact on spot price volatility. The CSI 300 studied with a TGARCH model 1988The October Crash: Some Evidence on the Cascade Theory 1993How price discovery by futures impacts the cash market

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