The Interrelation of Stock and Options Market Trading-Volume Data
AbstractThis 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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Bibliographic InfoArticle provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 43 (1988)
Issue (Month): 4 (September)
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