Improving the Performance of the Stock Market

Gammill and Marsh provide more factual detail than here. Gammill James F. Marsh Terry A. , “Trading Activity and Price Behavior in the Stock and Stock Index Futures Markets in October 1987,” Journal of Economic Perspectives, 2/3 (Summer 1988). See also, Miller Merton H. , “Report of the Committee of Inquiry Appointed by the Chicago Mercantile Exchange to Examine the Events Surrounding October 19, 1987” (1988); U.S. Commodity Futures Trading Commission, “Final Report on Stock Index Futures and Cash Market Activity During October 1987,” Division of Economic Analysis, The Division of Trading and Markets, U.S. Government Printing Office, January 1988.

Brady Nicholas F. , “Report of the Presidential Task Force on Market Mechanisms,” U.S. Government Printing Office, 1988.

See Treynor Jack , “What It Takes to Win the Trading Game,” Financial Analysts Journal (January/February 1981), pp. 55–60; Bagehot Walter (pseud.), “The Only Game in Town” Financial Analysts Journal, 27 (March/April 1971).

Working Holbrook , “Futures Trading and Hedging,” American Economic Review (1953).

MacKinaly A. Craig Ramaswamy Krishna , “Program Trading and the Behavior of Stock Index Futures Prices,” Berkeley Program in Finance Presentation, University of California, Berkeley, March 1988.

Harris Lawrence , “Contemporaneous Stock Index and Stock Index Futures During the October Market Break,” Finance Working Paper, University of Southern California, February 1988.

Black Fischer Scholes Myron , “The Pricing of Options and Other Corporate Liabilities,” Journal of Political Economy, 81 (May/June 1973): 637–659.

Rubenstein Mark , “Portfolio Insurance and the Market Crash,” Financial Analysts Journal (January/February 1988).

Roll Richard , “A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market,” Journal of Finance, 39 (March 1984): 1127–1139.

For the alternative view that customers are inherently impatient, see Grossman Sanford Miller Merton , “The Determinants of Market Liquidity,” manuscript, 1986.

Shiller Robert , “Investor Behavior in the October 1987 Stock Market Crash: Survey Evidence,” National Bureau of Economic Research Working Paper No. 2446, November 1987.

U.S. Securities and Exchange Commission, Division of Market Regulation, “The Role of Index-Related Trading in the Market Decline on September 11 and 12, 1986,” March 1987.

Black Fischer Hakanoglu Erol , “Simplifying Portfolio Insurance for the Seller,” Goldman Sachs, May 1987.

Black Fischer , “An Equilibrium Model of the Crash,” Working Paper, February 1988.

Grossman Sanford H. , “An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies,” manuscript, May 1987.

Leland Hayne E. , “Portfolio Insurance and October 19th,” California Management Review, 30/4 (Summer 1988): 81–89.

Black , op. cit., 1988.

U.S. Securities and Exchange Commission, “The October 1987 Market Break: A Report by the Division of Market Regulation,” U.S. Government Printing Office, February 1988.

U.S. General Accounting Office, “Financial Markets: Preliminary Observatrions on the October 1987 Crash,” January 1988.

Black Fischer , “Towards a Fully Automated Exchange,” Financial Analysts Journal (July/August, November/December 1971); Hakansson Nils H. Beja Avraham Kale Jivendra , “On the Feasibility of Automated Market Making by a Programmed Specialist,” Journal of Finance, 40 (March 1985): 1–20.

Wunsch Steven R. , “Futures Market Commentary,” Kidder Peabody & Company, Financial Futures Department, various issues, 1987–1988.