✦ LIBER ✦
Futures margins and stock price volatility: Is there any link?
✍ Scribed by Paul H. Kupiec
- Publisher
- John Wiley and Sons
- Year
- 1993
- Tongue
- English
- Weight
- 804 KB
- Volume
- 13
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
✦ Synopsis
CCC 0270-731 41931060677-15 'Stoll and Whaley's (1987) findings are consistent with those reported by Edwards. 'Blume, MacKinlay, and Terker (1989) document the existence of short-term price reversals in S&P 500 stocks during the October 1987 market break. They find these price reversals are related to a measure of selling pressure. These empirical findings are consistent with the existence of liquidity imbalances during periods of heavy futures-driven cash market volume.