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Probability Of Price Reversal And Relative Noise In Stock And Option Markets

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  • Michel Gendron
  • Nabil Khoury
  • Pierre Yourougou

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Suggested Citation

  • Michel Gendron & Nabil Khoury & Pierre Yourougou, 1994. "Probability Of Price Reversal And Relative Noise In Stock And Option Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(2), pages 147-159, June.
    • Handle: RePEc:bla:jfnres:v:17:y:1994:i:2:p:147-159
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1994.tb00182.x
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    References listed on IDEAS

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    1. Stephan, Jens A & Whaley, Robert E, 1990. "Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets," Journal of Finance, American Finance Association, vol. 45(1), pages 191-220, March.
    2. Stoll, Hans R, 1989. " Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests," Journal of Finance, American Finance Association, vol. 44(1), pages 115-134, March.
    3. Bhattacharya, Mihir, 1987. "Price Changes of Related Securities: The Case of Call Options and Stocks," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(1), pages 1-15, March.
    4. Manaster, Steven & Rendleman, Richard J, Jr, 1982. "Option Prices as Predictors of Equilibrium Stock Prices," Journal of Finance, American Finance Association, vol. 37(4), pages 1043-1057, September.
    5. Amihud, Yakov & Mendelson, Haim, 1987. "Trading Mechanisms and Stock Returns: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 42(3), pages 533-553, July.
    6. Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 3-40.
    7. Anthony, Joseph H, 1988. " The Interrelation of Stock and Options Market Trading-Volume Data," Journal of Finance, American Finance Association, vol. 43(4), pages 949-964, September.
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