Price impacts of options volume

Journal of Financial Markets - Tập 8 Số 1 - Trang 69-87 - 2005
Christian Schlag1, Hans R. Stoll2
1Goethe University, 60054 Frankfurt am Main, Germany
2Owen School, Vanderbilt University, Nashville, TN 37203, USA

Tóm tắt

Từ khóa


Tài liệu tham khảo

Anthony, 1988, The interrelation of stock and options market trading-volume data, Journal of Finance, 43, 949, 10.2307/2328145

Bessembinder, 2003, Issues in assessing trade execution costs, Journal of Financial Markets, 6, 233, 10.1016/S1386-4181(02)00064-2

Cao, C., Chen, Z., Griffin, J., 2003. Informational content of option volume prior to takeovers. Journal of Business, Working paper, Penn State University, forthcoming.

Chakravarty, S., Gulen, H., Mayhew, S., 2003. Informed trading in stock and option markets. Working paper, Pamplin College of Business, Virginia Tech, March 21.

Chan, 1993, Why options prices lag stock prices, Journal of Finance, 48, 1957, 10.2307/2329075

Chan, 2002, The informational role of stock and option volume, Review of Financial Studies, 15, 1049, 10.1093/rfs/15.4.1049

Chordia, 2002, Order imbalance, liquidity and market returns, Journal of Financial Economics, 65, 111, 10.1016/S0304-405X(02)00136-8

Easley, 1998, Option volume and stock prices, Journal of Finance, 53, 431, 10.1111/0022-1082.194060

Ellis, 2000, The accuracy of trade classification rules, Journal of Financial and Quantitative Analysis, 35, 529, 10.2307/2676254

Finucane, 2000, A direct test of methods for inferring trade direction from intra-day data, Journal of Financial and Quantitative Analysis, 35, 553, 10.2307/2676255

Hasbrouck, 1995, One security, many markets, Journal of Finance, 50, 1175, 10.2307/2329348

Kyle, 1985, Continuous auctions and insider trading, Econometrica, 53, 1315, 10.2307/1913210

Lee, 2000, Inferring investor behavior, Journal of Financial Markets, 3, 83, 10.1016/S1386-4181(00)00002-1

Manaster, 1982, Option prices as predictors of equilibrium stock prices, Journal of Finance, 37, 1043, 10.2307/2327766

Odders-White, 2000, On the occurrence and consequences of inaccurate trade classification, Journal of Financial Markets, 3, 259, 10.1016/S1386-4181(00)00006-9

Stephan, 1990, Intraday price changes and trading volume relations in the stock and stock option markets, Journal of Finance, 45, 191, 10.2307/2328816

Stoll, 2000, Friction. Journal of Finance, 55, 1479, 10.1111/0022-1082.00259

Vijh, 1990, Liquidity of the CBOE equity options, Journal of Finance, 45, 1157, 10.2307/2328719