Index futures, program trading, and the covariability of the major market index stocks
Year of publication: |
1991
|
---|---|
Authors: | Martin, John D. |
Other Persons: | Senchack, Andrew J. (contributor) |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 11.1991, 1, p. 95-111
|
Subject: | Index-Futures | Index futures | Computerunterstützung | Computerized method | USA | United States | 1980-1987 |
-
Order characteristics and stock price evolution : an application to program trading
Hasbrouck, Joel, (1996)
-
Program trading and individual stock returns : ingredients of the triple-witching brew
Stoll, Hans R.,
-
The intra-day effect of program trades on stock returns : evidence from October 1987
Neal, Robert S., (1994)
- More ...
-
Is indirect international diversification desirable?
Senchack, Andrew J., (1984)
-
Estimating the bid-ask spread in a heteroskedastic market : the case of foreign currency futures
Laux, Paul A., (1994)
-
Bid-ask spreads in financial futures
Laux, Paul A., (1992)
- More ...