Blume and MacKinlay are at the Wharton School, University of Pennsylvania, Terker is at Geewax, Terker & Company. The authors wish to thank Morris Mendelson, Merton Miller, Lawrence Summers, and especially René Stulz and the referee for helpful comments. We also gratefully acknowledge the research help of Neelu Agrawal and Sandeep Patel.
Order Imbalances and Stock Price Movements on October 19 and 20, 1987
Article first published online: 30 APR 2012
1989 The American Finance Association
The Journal of Finance
Volume 44, Issue 4, pages 827–848, September 1989
How to Cite
BLUME, M. E., MACKINLAY, A. C. and TERKER, B. (1989), Order Imbalances and Stock Price Movements on October 19 and 20, 1987. The Journal of Finance, 44: 827–848. doi: 10.1111/j.1540-6261.1989.tb02626.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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.