1992/07/01 by Allan W. Kleidon, Robert E. Whaley · 1 citation
Economics, Econometrics and Finance · #Financial Markets and Investment Strategies #Insurance and Financial Risk Management #Market Dynamics and Volatility #Futures contract #Futures market #Stock market crash #Business #Financial economics #Order (exchange) #Margin (machine learning) #Stock market #Crash #Market depth #Economics #Finance #Computer science
paper · doi:10.1111/j.1540-6261.1992.tb03997.x
openalex publication_date 1992/07/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/29
ABSTRACT We provide new evidence regarding the degree of integration among markets for stocks, futures and options prior to and during the October 1987 market crash. Where previous analyses have resulted in recommendations for the implementation of circuit breakers, the coordination of margin requirements across markets, and changes in regulatory jurisdiction, our analysis indicates that delinkage between markets during the crash was primarily caused by an antiquated mechanism for processing stock market orders. The results suggest that market integration may be better served by efficient order execution than by further restricting markets. To a large extent, the problems of mid‐October can be traced to the failure of these market segments [stocks, stock index futures, and stock options] to act as one. (Report of the Presidential Task Force [Brady Report] (1988, Executive Summary, p. vi)).