Work1990

Program Trading and Individual Stock Returns: Ingredients of the Triple-Witching Brew

61 citations0/0 files storedThe Journal of Business

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

Hans R. Stoll, Robert E. Whaley, Program Trading and Individual Stock Returns: Ingredients of the Triple-Witching Brew, The Journal of Business, Vol. 63, No. 1, Part 2: A Conference in Honor of Merton H. Miller's Contributions to Finance and Economics (Jan., 1990), pp. S165-S192

Citations in this library

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References

1988Estimating the components of the bid/ask spread 1988Liquidity and Market Structure 1989Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests 1972The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices 1972PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE 1987Program Trading and Expiration-Day Effects 1987Order Arrival, Quote Behavior, and the Return-Generating Process 1993Financial Innovations and Market Volatility.

Cited by

2005Closing call auctions and liquidity 1996Stock Market Volatility Around Expiration Days 2006Where does price discovery occur for stocks traded in multiple markets? Evidence from Hong Kong and London 1996Expiration day effects of stock index derivatives in Germany 1996Stock Market Volatility around Expiration Days in Japan 2001Intraday market liquidity on the Swiss Stock Exchange 1994Triple‐witching hour, the change in expiration timing, and stock market reaction

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