Derivatives and the 1987 market crash
G. Glenn Baigent
(College of Management, C.W. Post – Long Island University, 720 Northern Blvd., Brookville, NY 11548‐1300)
Vincent G. Massaro
(College of Management, C.W. Post – Long Island University, 720 Northern Blvd., Brookville, NY 11548‐1300)
992
Abstract
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.
Keywords
Citation
Glenn Baigent, G. and Massaro, V.G. (2005), "Derivatives and the 1987 market crash", Management Research News, Vol. 28 No. 1, pp. 94-105. https://doi.org/10.1108/01409170510784742
Publisher
:Emerald Group Publishing Limited
Copyright © 2005, Emerald Group Publishing Limited