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Order Imbalances and Stock Price Movements on October 19 and 20, 1987
Abstract
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 stock price movements, both in analyses of time series and cross‐sections. Thus, in addition to the breakdown in the linkage between future prices and the spot index on these two days, there were also breakdowns in the linkage among NYSE stocks.
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Citations
Cited by
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LEE, C. M. C., & READY, M. J. (1991) · The Journal of Finance · doi:10.1111/j.1540-6261.1991.tb02683.x · Cited by 3,147
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MacKenzie, D. (2006) · doi:10.7551/mitpress/9780262134606.001.0001 · Cited by 1,766
The Accuracy of Trade Classification Rules: Evidence from Nasdaq
Ellis, K., Michaely, R., & O'Hara, M. (2000) · The Journal of Financial and Quantitative Analysis · doi:10.2307/2676254 · Cited by 454
An Analysis of Changes in Specialist Inventories and Quotations
MADHAVAN, A., & SMIDT, S. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb05122.x · Cited by 431
MacKenzie, D. (2004) · Economy and Society · doi:10.1080/0308514042000225680 · Cited by 290
Metadata
- Authors
- BLUME, M. E., MACKINLAY, A. C., & TERKER, B.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 1989-09
- Volume
- 44
- Issue
- 4
- Pages
- 827-848
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2151542120
- Cited by
- 177
- References
- 0
- FWCI
- 15.36
- Type
- journal article
- Language
- en
- Open access
- closed
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- BLUME, M. E., MACKINLAY, A. C., & TERKER, B. (1989). Order Imbalances and Stock Price Movements on October 19 and 20, 1987. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1989.tb02626.x
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
