Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets

摘要: This study investigates intraday relations between price changes and trading volume of options stocks for a sample firms whose traded on the CBOE during first quarter 1986. After purging change series effects bid/ask spreads, multivariate time-series analysis is used to estimate lead/lag relation in option stock markets. The results indicate that market lead by as much fifteen minutes. indicates may be even longer. THE INTENSE TRADING ACTIVITY and, fact, very existence organized markets attest economic benefits these financial contracts provide. Reduced transaction costs increased leverage are two reasons why more attractive than underlying stock. In addition, cheaper flexible opportunities attract new differently informed investors marketplace. resulting increase activity, together with inextricable arbitrage linkage prices, imply an efficiency. empirically were actively Chicago Board Options Exchange particular, call translated into implied using American pricing model. These then compared actual identify which, if either, leads other. perfectly functioning capital markets, there should complete simultaneity series, is, information disseminating marketplace reflected prices activity both securities simultaneously. Institutional factors, however, make traders. cause due observed first, followed