文档介绍：An Analysis of Price Volatility
October 27 and 28, 1997
Katharine Ross and e Sofianos*
NYSE Working Paper 98-04
November 1998
*International & Research
New York Stock Exchange, Inc.
11 Wall Street
New York, NY 10005
(212) 656 3257
gsofianos@
This draft, Version , November 24, 1998
First draft, Version , January 27, 1998
Please do not quote without the authors’ explicit permission; comments are e.
We thank Jim Cochrane, Madhu Kannan, Joe Kenrick, Julie Khalikov, Melek Pulatkonak, Jennifer
Quinn, Eric Schobel, Jean Tobin and Mark Ventimiglia for their contributions to this report.
Several NYSE Regulation officials provided ments for which we thank them. The
comments and opinions expressed in this paper are the authors’ and do not necessarily reflect
those of the directors, members or officers of the New York Stock Exchange, Inc.
An Analysis of Price Volatility, October 27 and 28, 1997
Executive Summary
On Monday, October 27, 1997, the DJIA dropped 554 points from the previous Friday close,
the largest point drop ever. The price decline triggered the Exchange’s Rule 80B market-wide
circuit breakers for the first time ever. The next day, October 28, the DJIA rose 337 points, at
the time, the largest point rise in the Exchange’s history. In this paper, we use NYSE
proprietary data to examine various aspects of NYSE trading during these two very unusual
days.
We here summarize our main findings.
System Volume
· The ratio of executed system volume to twice total volume was 52 percent on October 27
and 50 percent on October 28, slightly higher than usual (on our control day, October 21,
this ratio was 46 percent same as for the whole of 1997).
· On October 27 and 28, buy and sell executed system volume was balanced throughout
most of the day.
· The period between the two trading halts on the 27th shows the largest system volume
imbalance: buy system volume was 48 pared to 62 percent for sell system
volume. During this