The Information in Option Volume for Future Stock Prices
Tóm tắt
Từ khóa
Tài liệu tham khảo
1994, Review of Financial Studies, 74, 743
Buraschi, A. , and A. Jiltsov, 2002, “Uncertainty, Volatility and Option Markets,” working paper, London Business School.
2005, Journal of Finance, 59, 1235
John, K. , A. Koticha, R. Narayanan, and M. Subrahmanyam, 2000, “Margin Rules, Informed Trading and Price Dynamics,” working paper, Stern School of Business, New York University.
Lakonishok, J. , I. Lee, and A. Poteshman, 2004, “Investor Behavior in the Option Market,” working paper, Department of Finance, University of Illinois at Urbana-Champaign.
2003, Journal of Financial Economics, 69, 410
Newey, W. K. , and K. D. West, 1987, “A Simple Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix,” Econometrica 29, 229–256.
O’Hara, M. , 1995, Market Microstructure Theory. Blackwell Publishers, Cambridge, MA.