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A new measure of the direction and timing of information flow between markets1

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  • Finucane, Thomas J.

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  • Finucane, Thomas J., 1999. "A new measure of the direction and timing of information flow between markets1," Journal of Financial Markets, Elsevier, vol. 2(2), pages 135-151, May.
    • Handle: RePEc:eee:finmar:v:2:y:1999:i:2:p:135-151
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    References listed on IDEAS

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    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. 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.
    3. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    4. Chan, Kalok & Chung, Y Peter & Johnson, Herb, 1993. "Why Option Prices Lag Stock Prices: A Trading-Based Explanation," Journal of Finance, American Finance Association, vol. 48(5), pages 1957-1967, December.
    5. 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.
    6. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    7. Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-552, September.
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    Citations

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    Cited by:

    1. Timothy Cairney & Judith Swisher, 2004. "The Role of the Options Market in the Dissemination of Private Information," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(7‐8), pages 1015-1042, September.
    2. Chen, Carl R. & Diltz, J. David & Huang, Ying & Lung, Peter P., 2011. "Stock and option market divergence in the presence of noisy information," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2001-2020, August.
    3. Dennis J. Whalen & Charles D. Collver, 2004. "Informed Trading Around Earnings Announcements: Another Look," The Financial Review, Eastern Finance Association, vol. 39(3), pages 409-434, August.
    4. Muravyev, Dmitriy & Pearson, Neil D. & Paul Broussard, John, 2013. "Is there price discovery in equity options?," Journal of Financial Economics, Elsevier, vol. 107(2), pages 259-283.
    5. Timothy Cairney & Judith Swisher, 2004. "The Role of the Options Market in the Dissemination of Private Information," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(7-8), pages 1015-1042.
    6. Vinay Patel, 2015. "Price Discovery in US and Australian Stock and Options Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 27, July-Dece.
    7. Gunther Capelle-Blancard & Séverine Vandelanoite, 2000. "Intraday relations between CAC 40 cash index and CAC 40 index options [Relations intrajournalières entre l'indice CAC 40 et les options sur indice. Quel est le marché préféré des investisseurs info," Post-Print halshs-03727911, HAL.
    8. Atilgan, Yigit, 2014. "Volatility spreads and earnings announcement returns," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 205-215.
    9. Gunther Capelle-Blancard & Séverine Vandelanoite, 2002. "Relations intrajournalières entre l'indice CAC 40 et les options sur indice : Quel est le marché préféré des investisseurs informés ?," Annals of Economics and Statistics, GENES, issue 66, pages 143-177.
    10. Benjamin Blau & Chip Wade, 2013. "Comparing the information in short sales and put options," Review of Quantitative Finance and Accounting, Springer, vol. 41(3), pages 567-583, October.
    11. Vinay Patel, 2015. "Price Discovery in US and Australian Stock and Options Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 6-2015.
    12. Kelley Bergsma & Vivien Csapi & Dean Diavatopoulos & Andy Fodor, 2020. "Show me the money: Option moneyness concentration and future stock returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(5), pages 761-775, May.

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