Derivatives and the 1987 market crash

Derivatives and the 1987 market crash

We examine the role of program trading and portfolio insurance in the market crash of 1987. We argue that the only plausible explanation for the sequence and magnitude of the events in October 1987 is the existence of portfolio insurance. Other explanations such as in vestor behavior are discussed.

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Bibliographische Detailangaben
Veröffentlicht in:Management research news 2005-01, Vol.28 (1), p.94-105
Hauptverfasser: Glenn Baigent, G, Massaro, Vincent G
Format: Artikel
Sprache:eng
Schlagworte:
American dollar
Derivatives
Equity markets
Futures market
Institutional investments
Investors
Portfolio insurance
Portfolio investments
Program trading
Securities markets
Stock exchanges
Stock market crashes
Studies
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Beschreibung
Zusammenfassung:We examine the role of program trading and portfolio insurance in the market crash of 1987. We argue that the only plausible explanation for the sequence and magnitude of the events in October 1987 is the existence of portfolio insurance. Other explanations such as in vestor behavior are discussed.
ISSN:0140-9174
2040-8269
1758-6135
2040-8277
DOI:10.1108/01409170510784742