To What Extent did Stock Index Futures Contribute to the October 1987 Stock Market Crash?

Antonios Antoniou · Ian Garrett

64 citations0/0 files storedThe Economic Journal

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

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Antonios Antoniou, Ian Garrett; To What Extent did Stock Index Futures Contribute to the October 1987 Stock Market Crash?, The Economic Journal, Volume 103

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1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Testing for a Unit Root in Time Series Regression 1988Statistical analysis of cointegration vectors 1992ARCH modeling in finance 1979Risk measurement when shares are subject to infrequent trading 1986Modelling the persistence of conditional variances 1990Asymptotic Properties of Residual Based Tests for Cointegration 1990Correlations in Price Changes and Volatility across International Stock Markets

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2003Modelling International Price Relationships and Interdependencies Between the Stock Index and Stock Index Futures Markets of Three EU Countries: A Multivariate Analysis 2012Price Discovery in Indian Agricultural Commodity Markets 2020Volatility as a Transmitter of Systemic Risk: Is there a Structural Risk in Finance?2012Asymmetries, causality and correlation between FTSE100 spot and futures: A DCC-TGARCH-M analysis

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