TO WHAT EXTENT DID STOCK INDEX FUTURES CONTRIBUTE TO THE OCTOBER 1987 STOCK-MARKET CRASH

被引：11
作者：
ANTONIOU, A
GARRETT, I
机构：
来源：
ECONOMIC JOURNAL | 1993年 / 103卷 / 421期
关键词：
D O I：
10.2307/2234476
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
引用
收藏
页码：1444 / 1461
页数：18
相关论文
共 29 条
[1]  
*BANK ENGLAND, 1988, BANK ENGLAND Q B, P51
[2]   ORDER IMBALANCES AND STOCK-PRICE MOVEMENTS ON OCTOBER 19 AND 20, 1987 [J].
BLUME, ME ;
MACKINLAY, AC ;
TERKER, B .
JOURNAL OF FINANCE, 1989, 44 (04) :827-848
[3]   GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY [J].
BOLLERSLEV, T .
JOURNAL OF ECONOMETRICS, 1986, 31 (03) :307-327
[4]   ARCH MODELING IN FINANCE - A REVIEW OF THE THEORY AND EMPIRICAL-EVIDENCE [J].
BOLLERSLEV, T ;
CHOU, RY ;
KRONER, KF .
JOURNAL OF ECONOMETRICS, 1992, 52 (1-2) :5-59
[5]   A TRANSACTIONS DATA TEST OF STOCK INDEX FUTURES MARKET-EFFICIENCY AND INDEX ARBITRAGE PROFITABILITY [J].
CHUNG, YP .
JOURNAL OF FINANCE, 1991, 46 (05) :1791-1809
[6]   TAXES AND THE PRICING OF STOCK INDEX FUTURES [J].
CORNELL, B ;
FRENCH, KR .
JOURNAL OF FINANCE, 1983, 38 (03) :675-694
[7]   THE PRICING OF STOCK INDEX FUTURES [J].
CORNELL, B ;
FRENCH, KR .
JOURNAL OF FUTURES MARKETS, 1983, 3 (01) :1-14
[8]   RISK MEASUREMENT WHEN SHARES ARE SUBJECT TO INFREQUENT TRADING [J].
DIMSON, E .
JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (02) :197-226
[9]  
Engle R.F., 1986, ECONOMET REV, V5, P1, DOI [10.1080/07474938608800095, DOI 10.1080/07474938608800095]
[10]   COINTEGRATION AND ERROR CORRECTION - REPRESENTATION, ESTIMATION, AND TESTING [J].
ENGLE, RF ;
GRANGER, CWJ .
ECONOMETRICA, 1987, 55 (02) :251-276
123