Program trading and individual stock returns: ingredients of the triple-witching brew
Article Abstract:
The trading volume and price behaviors of stocks in the Standard and Poor's 500 Stock Index were examined on days when stock index futures expired, a time when the market typically experiences heavy trading. Findings were then compared to data obtained for the same group of stocks on days when futures did not expire. The most important result of the analysis was that there was a striking similarity between the price behavior of stocks that were not subject to program trading compared to stocks that were subject to program trading.
Publication Name: The Journal of Business
Subject: Business, general
ISSN: 0021-9398
Year: 1990
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Some relations between volatility and serial correlations in stock market returns
Article Abstract:
The link between serial correlation and stock return volatility is examined using several returns series including the Standard and Poor's composite index and the Center for Research in Securities Prices' value-weighted index. The serial correlations are observed to vary over time and are shown to be inversely related to the volatility of the returns series under study. As a rule, correlations are larger when volatility is lower, while correlations are smaller when volatility is higher.
Publication Name: The Journal of Business
Subject: Business, general
ISSN: 0021-9398
Year: 1992
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Stock index futures and index arbitrage in a rational expectations model
Article Abstract:
The role of index arbitrage and stock index futures is analyzed through a microeconomic rational expectations model. Index arbitrage is modeled in a two-market setting, wherein agents engaged in index arbitrage provide the link to both the stock index futures market and the stock market itself. The model demonstrates how index arbitrage can align the two markets and offset imbalances in the relationship between futures prices and stock prices.
Publication Name: The Journal of Business
Subject: Business, general
ISSN: 0021-9398
Year: 1991
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