Blume, Marshall E; MacKinley, A Craig; Terker, Bruce - In: Journal of Finance 44 (1989) 4, pp. 827-48
On October 19, 1987, NYSE stocks in the S&P index declined seven percentage points more than NYSE stocks not in this index. In the first hour of trading on October 20, the S&P stocks virtually recovered to the level of the non-S&P stocks. There is a strong relation between order imbalances and...