Intraday Trading Patterns in the Equity Options Markets
AbstractBased on the analysis of data for over two million options transactions on the Chicago Board of Options Exchange, we find significant U-shaped intraday patterns in trading volume, transaction size, proportion of trades at the ask or bid, and other variables in the equity options market. These previously undocumented intraday temporal patterns are largely consistent with exogenous temporal influences on transactions volume in anticipation of and following nontrading periods. These patterns are also largely consistent with strategic trading endogenous to the market and are related to interactions between informed and liquidity or noise traders.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoArticle provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.
Volume (Year): 16 (1993)
Issue (Month): 4 (Winter)
Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0270-2592
More information through EDIRC
Other versions of this item:
- Raj Aggarwal & Edward Gruca, 1993. "Intraday Trading Patterns In The Equity Options Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, Southern Finance Association;Southwestern Finance Association, vol. 16(4), pages 285-297, December.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Bildik, Recep, 2001. "Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market," Emerging Markets Review, Elsevier, Elsevier, vol. 2(4), pages 387-417, December.
- Nikolaus Hautsch, 2002. "Modelling Intraday Trading Activity Using Box-Cox-ACD Models," CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz 02-05, Center of Finance and Econometrics, University of Konstanz.
- Aggarwal, Raj, 1995. "Microstructure of world trading markets: Hans R. Stoll, Norwell, MA: Kluwer Academic Publishers, 1993, 154 pp," International Review of Economics & Finance, Elsevier, Elsevier, vol. 4(3), pages 311-313.
- Köksal, Bülent, 2012. "An Analysis of Intraday Patterns and Liquidity on the Istanbul Stock Exchange," MPRA Paper 35968, University Library of Munich, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.