The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
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DISCUSSION
Published: 07/01/1988 | DOI: 10.1111/j.1540-6261.1988.tb04597.x
ALLAN W. KLEIDON
DISCUSSION
Published: 05/01/1983 | DOI: 10.1111/j.1540-6261.1983.tb02254.x
ALLAN W. KLEIDON, PAUL PFLEIDERER
One Market? Stocks, Futures, and Options During October 1987
Published: 07/01/1992 | DOI: 10.1111/j.1540-6261.1992.tb03997.x
ALLAN W. KLEIDON, ROBERT E. WHALEY
We provide new evidence regarding the degree of integration among markets for stocks, futures and options prior to and during the October 1987 market crash. Where previous analyses have resulted in recommendations for the implementation of circuit breakers, the coordination of margin requirements across markets, and changes in regulatory jurisdiction, our analysis indicates that delinkage between markets during the crash was primarily caused by an antiquated mechanism for processing stock market orders. The results suggest that market integration may be better served by efficient order execution than by further restricting markets.