程序交易与市场波动研究
Program trading is related to intraday changes in the S&P 500. The relation primarily seems to be due to the initiation of program trades in response to new information. To a lesser extent, the relation is also due to bid-ask bounce and the updating of stale prices caused by program trades. Since little or no average price reversal occurs in the 30 minutes after program trades, program trades do not seem to
cause excess volatility.
In the two-year period 1989-1990, the index changed by an average of 0.03 percent per $10 million of program trading. The change in the index is roughly the same for buy-and-sell index arbitrage and nonarbitrage trades. The relations between program trades and cash and futures returns are stable over the two-year period under examination.The results in this article must be qualified in several important respects.
First, they reflect only data for the two-year period 1989-1990. Although index values and program trading varied considerably during this period, no crashes or melt-ups like the October 1987 Crash occurred in this period. The minicrash of October 1989 is in the sample, however, and the plots for the fourth quarter of 1989 do exhibit slightly higher reversals than average, particularly in the futures market.
Second, the event plots and the estimates of the average price change surrounding program trades are based on linear regressions.
The average price change per dollar of program trading surrounding a $100 million program could be much greater than for the average
$7 million order observed in this sample. Moreover, the dynamic patterns may be different. Very large programs, for example, may be
associated with greater reversals than is the average program.
Third, only 30 minutes following individual program trades are studied to determine whether price reversals follow program trades.
The absence of a significant price reversal within 30 minutes does not necessarily imply that prices do not ultimately revert over much
longer intervals.
Finally, all results presented in this article apply only to intraday program trading-program trades that took place 30 minutes after
the open and 5 minutes before the close of trading. Program trades near or at the open and close—which include most expiration day
trading—may also be related to index changes, possibly in different ways.
cause excess volatility.
In the two-year period 1989-1990, the index changed by an average of 0.03 percent per $10 million of program trading. The change in the index is roughly the same for buy-and-sell index arbitrage and nonarbitrage trades. The relations between program trades and cash and futures returns are stable over the two-year period under examination.The results in this article must be qualified in several important respects.
First, they reflect only data for the two-year period 1989-1990. Although index values and program trading varied considerably during this period, no crashes or melt-ups like the October 1987 Crash occurred in this period. The minicrash of October 1989 is in the sample, however, and the plots for the fourth quarter of 1989 do exhibit slightly higher reversals than average, particularly in the futures market.
Second, the event plots and the estimates of the average price change surrounding program trades are based on linear regressions.
The average price change per dollar of program trading surrounding a $100 million program could be much greater than for the average
$7 million order observed in this sample. Moreover, the dynamic patterns may be different. Very large programs, for example, may be
associated with greater reversals than is the average program.
Third, only 30 minutes following individual program trades are studied to determine whether price reversals follow program trades.
The absence of a significant price reversal within 30 minutes does not necessarily imply that prices do not ultimately revert over much
longer intervals.
Finally, all results presented in this article apply only to intraday program trading-program trades that took place 30 minutes after
the open and 5 minutes before the close of trading. Program trades near or at the open and close—which include most expiration day
trading—may also be related to index changes, possibly in different ways.
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