Order Imbalances and Stock Price Movements on October 19 and 20, 1987 |
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Authors: | MARSHALL E BLUME A CRAIG MACKINLAY BRUCE TERKER |
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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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