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Program Trading and the Link Between the Spot and Futures Prices

  • Published:2014-08-13 Issue:12 Volume:35 Page:1133-1153
  • ISSN:0270-7314
  • Container-title:Journal of Futures Markets
  • language:en
  • Short-container-title:

Author:

Jordan Steven J.1,Lee Woo-Baik2,Park Jong Won3

Affiliation:

1. Steven J. Jordan is at the Fogelman College of Business and Economics; University of Memphis; Memphis, TN

2. Woo-Baik Lee is at the Department of Business Administration; Korea National Open University; Seoul Korea

3. Jong Won Park is at the College of Business Administration; University of Seoul; Seoul Korea

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference20 articles.

1. The effect of circuit breakers on expected volatility: Tests using implied volatilities;Ackert;Atlantic Economic Journal,1997

2. Order imbalances and stock price movements on October 19 and 20, 1987;Blume;Journal of Finance,1989

3. When a halt is not a halt: An analysis of Off-NYSE trading during NYSE market closures;Chakrabarty;Journal of Financial Intermediation,2009

4. Order imbalance, liquidity, and market returns;Chordia;Journal of Financial Economics,2002

5. Liquidity and market efficiency;Chordia;Journal of Financial Economics,2008

Cited by 6 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Design and Implementation of a Program Trading Platform for Futures;2019 IEEE 10th International Conference on Software Engineering and Service Science (ICSESS);2019-10

2. Programs trades and trade regulation: An evidence of the Korean securities market;Journal of Futures Markets;2019-09-10

3. D: Management, Accounting and Technology;World Banking Abstracts;2016-03-11

4. Recent Advances in the Literature: Asia-Pacific Derivative Markets;Asia-Pacific Journal of Financial Studies;2016-02

5. Circuit Breakers, Trading Collars, and Volatility Transmission Across Markets: Evidence from NYSE Rule 80A;Financial Review;2015-07-16
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