This setting lets you change the way you view articles. You can choose to have articles open in a dialog window, a new tab, or directly in the same window.
Open in Dialog
Open in New Tab
Open in same window

Journal of Economic Perspectives: Vol. 2 No. 3 (Summer 1988)

Expand

Quick Tools:

Print Article Summary
Export Citation
Sign up for Email Alerts Follow us on Twitter

Explore:

JEP - All Issues


Trading Activity and Price Behavior in the Stock and Stock Index Futures Markets in October 1987

Article Citation

Gammill, James F., and Terry A. Marsh. 1988. "Trading Activity and Price Behavior in the Stock and Stock Index Futures Markets in October 1987." Journal of Economic Perspectives, 2(3): 25-44.

DOI: 10.1257/jep.2.3.25

Abstract

This paper discusses what actually happened during the October 1987 market break and the days immediately before. It attempts to lay out a set of stylized facts that describe differing categories of traders and how they behaved and reacted to each other during those days. We believe that this description of what actually happened provides a necessary starting point for financial economists interested in explaining the stock market break. Our discussion here will rely heavily on the report of the Presidential Task Force on Market Mechanisms, created by Ronald Reagan to investigate these events, as well as on the reports of the Securities and Exchange Commission and the Commodity Futures Trading Commission. [Both authors were staff members with the Presidential Task Force on Market Mechanisms.] We focus on trading activity on the New York Stock Exchange (NYSE) and on the S&P 500 stock index futures contract traded on the Chicago Mercantile Exchange (CME).

Article Full-Text Access

Full-text Article (Complimentary)

Authors

Gammill, James F. (Unlisted)
Marsh, Terry A. (Unlisted)

JEL Classifications

313: Capital Markets--Empirical Studies, Including Regulation

Comments

View Comments on This Article (0) | Login to post a comment


Journal of Economic Perspectives


Quick Tools:

Sign up for Email Alerts

Follow us on Twitter

Subscription Information
(Institutional Administrator Access)

Explore:

JEP - All Issues

Virtual Field Journals


AEA Member Login:


AEAweb | AEA Journals | Contact Us