• AEA
  • About the AEA
  • Committees
  • Honors & Awards
  • For Graduate Students
  • For Undergrad Students
  • News & Notes
  • Officers
  • General Information
  • Minutes
  • UA Questionnaire
  • Continuing Education
  • Directory of Members
  • Call for Papers
  • Media
• Journals
  • AEJ: Applied Economics
  • AEJ: Economic Policy
  • AEJ: Macroeconomics
  • AEJ: Microeconomics
  • American Economic Review
  • Journal of Economic Literature
  • Journal of Economic Perspectives
  • eTOCs
  • Virtual Field Journals
  • Institutional Subscriptions
  • AEA Journals on JSTOR
  • Ads in Journals
  • Back Issues Order Forms
  • Copyright & Permissions
• Annual Meeting
  • Submissions
  • Registration/Housing
  • Preliminary Program
  • ASSA 2013 App
  • Annual Meeting Papers
  • Annual Meeting Webcasts
  • Disclosure Code Information
  • Exhibitors
  • Exhibitors & Advertisers Forms
  • Special Event Form
  • Continuing Education
  • Econ-Harmony
  • Archive of Past Programs
• EconLit
  • EconLit Access
  • EconLit Deskop Link
  • EconLit for Members
  • JEL Codes Guide
  • JEL Classifications
  • Journal List
  • Contacts/Corrections
  • Upcoming Exhibits
  • Document Types
  • Search Hints
• Jobs
  • JOE Listings
  • Submit a JOE Listing
  • Job Market Signaling
  • Job Market Scramble
  • Available Retired Faculty
• Resources
  • Resources For Economists
  • RFE Abridged Contents
  • RFE Search
  • RFE Conferences
  • Econ Search Engine
• Members
  • Member Login
  • Become a Member
  • Directory of Members
  • EconLit for Members
  • AEA Journals on JSTOR
  • Econ-Harmony
  • Annual Meeting Webcasts
  • Browse JEL Indexes
  • Virtual Field Journals
  • Institutional Subscriptions

View Settings

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)

JEP Volume. 2, Issue 3 | Previous ArticleNext Article

Expand

Quick Tools:

Print Article Summary Email Link to this Article

To Email:

From Email:

Message:

Email Link to Article Change Captcha Export Citation

BibTeX EndNote Refer/BibIX RIS Tab-Delimited Export 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