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Arbitrage, Nontrading, and Stale Prices: October 1987
6 references·2 citing·33 second hop
Arbitrage, Nontrading, and Stale Prices: October 1987 (1992)Arbitrage, Nontrading, and Stale Prices: …Transactional risk, market crashes, and the role of circuit breakers (1993)Transactional risk, market cr…Financial Innovations and Market Volatility. (1993)Financial Innovations and Mar…One Market? Stocks, Futures, and Options During October 1987 (1992)One Market? Stocks, Futures, …The October 1987 S&P 500 Stock-Futures Basis (1989)The October 1987 S&P 500 Stoc…Order Imbalances and Stock Price Movements on October 19 and 20, 1987 (1989)Order Imbalances and Stock Pr…Black Monday and the future of financial markets (1989)Black Monday and the future o…Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options (2005)Can Standard Preferences Expl…Discretionary government intervention and the mispricing of index futures (2003)Discretionary government inte…Some New Stock-Market Indexes (1966)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)A Transactions Data Test of Stock Index Futures Market Efficiency and Index Arbitrage Profitability (1991)Information and Index Arbitrage (1994)Crises in Developed and Emerging Stock Markets (1998)Liquidity and Market Structure (1988)Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets (1990)The Dynamics of Stock Index and Stock Index Futures Returns (1990)The Asian financial crisis: The role of derivative securities trading and foreign investors in Korea (2005)Index Futures Trading Restrictions and Spot Market Quality: Evidence from the Recent Chinese Stock Market Crash (2016)Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China (2019)Constraints on short-selling and asset price adjustment to private information (1987)The Limits of Arbitrage (1995)Contagion as a Wealth Effect (2001)The information content of option implied volatility surrounding the 1997 Hong Kong stock market crash (2007)The Microstructure of Securities Markets. (1986)Nasdaq Trading Halts: The Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs (2002)Speculative markets and the effectiveness of price limits (2003)Retail investor attention and herding behavior (2020)The equity premium: A puzzle (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Cash-secured PutWrite Strategy and Performance of Related Benchmark Indexes (2009)Volatility in Equilibrium: Asymmetries and Dynamic Dependencies (2010)Stock Market Crashes and the Performance of Circuit Breakers: Empirical Evidence (1993)Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange (2004)The big, bad wolf and the rational market: portfolio insurance, the 1987 crash and the performativity of economics (2004)The Self-Regulation of Commodity Exchanges: The Case of Market Manipulation (1995)Effects of financial innovations on market volatility when beliefs are heterogeneous (1998)Market Distress and Vanishing Liquidity: Anatomy and Policy Options (2007)Stock Market Crashes, Precursors and Replicas (1996)Large financial crashes (1997)Critical market crashes (2003)
this work references cited by second hop

References

  • 1989Black Monday and the future of financial markets249 cited
  • 1989Order Imbalances and Stock Price Movements on October 19 and 20, 1987177 cited
  • 1989The October 1987 S&P 500 Stock-Futures Basis162 cited
  • 1993Transactional risk, market crashes, and the role of circuit breakers142 cited
  • 1993Financial Innovations and Market Volatility.125 cited
  • 1992One Market? Stocks, Futures, and Options During October 198766 cited

Cited by

  • 2005Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options42 cited
  • 2003Discretionary government intervention and the mispricing of index futures39 cited

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