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Price impacts of options volume

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  • Schlag, Christian
  • Stoll, Hans

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Financial Markets.

Volume (Year): 8 (2005)
Issue (Month): 1 (February)
Pages: 69-87

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Handle: RePEc:eee:finmar:v:8:y:2005:i:1:p:69-87

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Web page: http://www.elsevier.com/locate/finmar

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  1. Ellis, Katrina & Michaely, Roni & O'Hara, Maureen, 2000. "The Accuracy of Trade Classification Rules: Evidence from Nasdaq," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(04), pages 529-551, December.
  2. Lee, Charles M. C. & Radhakrishna, Balkrishna, 2000. "Inferring investor behavior: Evidence from TORQ data," Journal of Financial Markets, Elsevier, Elsevier, vol. 3(2), pages 83-111, May.
  3. Odders-White, Elizabeth R., 2000. "On the occurrence and consequences of inaccurate trade classification," Journal of Financial Markets, Elsevier, Elsevier, vol. 3(3), pages 259-286, August.
  4. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, Econometric Society, vol. 53(6), pages 1315-35, November.
  5. Charles Quanwei Cao & Zhiwu Chen & John M. Griffin, 2003. "Informational Content of Option Volume Prior to Takeovers," Yale School of Management Working Papers, Yale School of Management ysm422, Yale School of Management.
  6. Vijh, Anand M, 1990. " Liquidity of the CBOE Equity Options," Journal of Finance, American Finance Association, vol. 45(4), pages 1157-79, September.
  7. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2000. "Order Imbalance, Liquidity, and Market Returns," University of California at Los Angeles, Anderson Graduate School of Management qt7gh9t9w3, Anderson Graduate School of Management, UCLA.
  8. Finucane, Thomas J., 2000. "A Direct Test of Methods for Inferring Trade Direction from Intra-Day Data," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(04), pages 553-576, December.
  9. 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 1043-57, September.
  10. Bessembinder, Hendrik, 2003. "Issues in assessing trade execution costs," Journal of Financial Markets, Elsevier, Elsevier, vol. 6(3), pages 233-257, May.
  11. David Easley & Maureen O'Hara & P.S. Srinivas, 1998. "Option Volume and Stock Prices: Evidence on Where Informed Traders Trade," Journal of Finance, American Finance Association, vol. 53(2), pages 431-465, 04.
  12. Kalok Chan & Y. Peter Chung & Wai-Ming Fong, 2002. "The Informational Role of Stock and Option Volume," Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1049-1075.
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Cited by:
  1. Kang, Jangkoo & Park, Hyoung-Jin, 2008. "The information content of net buying pressure: Evidence from the KOSPI 200 index option market," Journal of Financial Markets, Elsevier, Elsevier, vol. 11(1), pages 36-56, February.
  2. Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar, 2010. "O/S: The relative trading activity in options and stock," Journal of Financial Economics, Elsevier, Elsevier, vol. 96(1), pages 1-17, April.
  3. Chang, Chuang-Chang & Hsieh, Pei-Fang & Lai, Hung-Neng, 2013. "The price impact of options and futures volume in after-hours stock market trading," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 21(1), pages 984-1007.
  4. Hwang, Lee-Seok & Lee, Woo-Jong & Lim, Seung-Yeon & Park, Kyung-Ho, 2013. "Does information risk affect the implied cost of equity capital? An analysis of PIN and adjusted PIN," Journal of Accounting and Economics, Elsevier, Elsevier, vol. 55(2), pages 148-167.

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