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The Interrelation of Stock and Options Market Trading-Volume Data

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Author Info
 Anthony, Joseph H
Abstract

This research empirically investigates the relation between common stock and call option trading volumes. The p aper hypothesizes and tests a sequential flow of information between the stock and option markets. If information trading for Chicago Boar d Option Exchange listed firms is predominantly accomplished through option trading, then existing research methodologies may be biased ag ainst finding any significant economic consequences in those instance s where option listing is an impor-tant variable. Results indicate th at trading in call options leads trading in the underlying shares, wi th a one day lag. Copyright 1988 by American Finance Association.

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Publisher Info
Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 43 (1988)
Issue (Month): 4 (September)
Pages: 949-64
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Handle: RePEc:bla:jfinan:v:43:y:1988:i:4:p:949-64

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  1. Rafiqul Bhuyan, 2002. "Information, Alternative Markets, and Security Price Processes: A Survey of Literature," Finance 0211002, EconWPA. [Downloadable!]
  2. Young-Hye Cho & Robert F. Engle, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," NBER Working Papers 7331, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  3. P. L. Varson, M. J. P. Selby, 1997. "Option prices as predictors of stock prices: intraday adjustments to information releases," European Journal of Finance, Taylor and Francis Journals, vol. 3(1), pages 49-72, March. [Downloadable!] (restricted)
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