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

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Author Info
 Stephan, Jens A
Whaley, Robert E
Abstract

This study investigates intraday relations between price changes and trading volumes of options and stocks for a sample of firms whose options traded on the Chicago Board Options Exchange during the first quarter of 1986. After purging the price change series of the effects of bid/ask spreads, multivariate time-series analysis is used to estimate the lead/lag relation between the price changes in the option and stock markets. The results indicate that price changes in the stock market lead the option market by as much as fifteen minutes. The analysis of trading volume indicates that the stock market lead may be even longer. Copyright 1990 by American Finance Association.

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

Volume (Year): 45 (1990)
Issue (Month): 1 (March)
Pages: 191-220
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Handle: RePEc:bla:jfinan:v:45:y:1990:i:1:p:191-220

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  1. Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu, 2006. "Are Domestic Investors Better Informed than Foreign Investors? : Evidence from the Perfectly Segmented Market in China," Serie Research Memoranda 0004, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
  2. Robert Engle, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," University of California at San Diego, Economics Working Paper Series 1999-05, Department of Economics, UC San Diego. [Downloadable!]
  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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