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Liquidity of the CBOE Equity Options

Citations

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Cited by:

  1. John B. Broughton & Don M. Chance & David M. Smith, 1995. "The impact of equity option expirations on the prices of non‐expiring options," Review of Financial Economics, John Wiley & Sons, vol. 4(2), pages 109-123, March.
  2. Diavatopoulos, Dean & Doran, James S. & Fodor, Andy & Peterson, David R., 2012. "The information content of implied skewness and kurtosis changes prior to earnings announcements for stock and option returns," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 786-802.
  3. Kapetanios, George & Konstantinidi, Eirini & Neumann, Michael & Skiadopoulos, George, 2019. "Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market," Journal of Financial Markets, Elsevier, vol. 46(C).
  4. Silva, Ana Cristina & Chavez, Gonzalo, 2002. "Components of execution costs: evidence of asymmetric information at the Mexican Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(3), pages 253-278, July.
  5. Cao, Melanie & Wei, Jason, 2010. "Option market liquidity: Commonality and other characteristics," Journal of Financial Markets, Elsevier, vol. 13(1), pages 20-48, February.
  6. Amber Anand & Jian Hua & Tim McCormick, 2016. "Make-Take Structure and Market Quality: Evidence from the U.S. Options Markets," Management Science, INFORMS, vol. 62(11), pages 3271-3290, November.
  7. Carl R. Chen & Peter P. Lung & Nicholas S.P. Tay, 2005. "Information flow between the stock and option markets: Where do informed traders trade?," Review of Financial Economics, John Wiley & Sons, vol. 14(1), pages 1-23.
  8. Deuskar, Prachi & Gupta, Anurag & Subrahmanyam, Marti G., 2011. "Liquidity effect in OTC options markets: Premium or discount?," Journal of Financial Markets, Elsevier, vol. 14(1), pages 127-160, February.
  9. Kaushik I. Amin & Charles M. C. Lee, 1997. "Option Trading, Price Discovery, and Earnings News Dissemination," Contemporary Accounting Research, John Wiley & Sons, vol. 14(2), pages 153-192, June.
  10. Seraina C. Anagnostopoulou & Aikaterini C. Ferentinou & Panagiotis A. Tsaousis & Andrianos E. Tsekrekos, 2018. "The Options Market Reaction to Bank Loan Announcements," Journal of Financial Services Research, Springer;Western Finance Association, vol. 53(1), pages 99-139, February.
  11. Kapetanios, George & Konstantinidi, Eirini & Neumann, Michael & Skiadopoulos, George, 2019. "Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market," Journal of Financial Markets, Elsevier, vol. 46(C).
  12. Andy Fodor & Kevin Krieger & James Doran, 2011. "Do option open-interest changes foreshadow future equity returns?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(3), pages 265-280, September.
  13. Ghulam Sarwar, 2004. "The informational role of option trading volume in the S&P 500 futures options markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(16), pages 1197-1210.
  14. Chan, Kam C. & Chang, Yuanchen & Lung, Peter P., 2009. "Informed trading under different market conditions and moneyness: Evidence from TXO options," Pacific-Basin Finance Journal, Elsevier, vol. 17(2), pages 189-208, April.
  15. 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.
  16. Broughton, John B. & Chance, Don M. & Smith, David M., 1995. "The impact of equity option expirations on the prices of non-expiring options," Review of Financial Economics, Elsevier, vol. 4(2), pages 109-123.
  17. Eunpyo Hong & Min C. Park & Tao‐Hsien Dolly King, 2023. "The effect of option listing on financing decisions," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 50(3-4), pages 858-891, March.
  18. Sohnke M. Bartram & Frank R. Fehle, 2003. "Competition among Alternative Option Market Structures: Evidence from Eurex vs. Euwax," Finance 0307005, University Library of Munich, Germany, revised 06 Nov 2003.
  19. 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.
  20. Ghulam Sarwar, 2005. "The Informational Role of Option Trading Volume in Equity Index Options Markets," Review of Quantitative Finance and Accounting, Springer, vol. 24(2), pages 159-176, January.
  21. Laux, Paul A., 1995. "Dealer market structure, outside competition, and the bid-ask spread," Journal of Economic Dynamics and Control, Elsevier, vol. 19(4), pages 683-710, May.
  22. Michael J. Dueker & Thomas W. Miller, 1996. "Market microstructure effects on the direct measurement of the early exercise premium in exchange-listed options," Working Papers 1996-013, Federal Reserve Bank of St. Louis.
  23. Nabil Khoury & Stylianos Perrakis & Marko Savor, 2010. "PIP Transactions, Price Improvement, Informed Trades and Order Execution Quality," European Financial Management, European Financial Management Association, vol. 16(2), pages 211-228, March.
  24. Lee, Mingchih & Chen, Chun-Da, 2005. "The intraday behaviors and relationships with its underlying assets: evidence on option market in Taiwan," International Review of Financial Analysis, Elsevier, vol. 14(5), pages 587-603.
  25. Thuy Khang Huynh & Vijay Shenai, 2019. "Option Trading Volumes and Their Impact on Stock Prices at Earnings’ Announcements: A Study of S & P100 Stocks in the Post Crisis Era 2010-2017," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 9(3), pages 83-103, July.
  26. Hedvall, Kaj & Niemeyer, Jonas & Rosenqvist, Gunnar, 1997. "Do buyers and sellers behave similarly in a limit order book? A high-frequency data examination of the Finnish stock exchange," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 279-293, June.
  27. Mark Cassano & Bing Han, 2008. "Option volume, strike distribution, and foreign exchange rate movements," Review of Quantitative Finance and Accounting, Springer, vol. 30(1), pages 49-67, January.
  28. Anand, Amber & Weaver, Daniel G., 2006. "The value of the specialist: Empirical evidence from the CBOE," Journal of Financial Markets, Elsevier, vol. 9(2), pages 100-118, May.
  29. Chunbo Liu & Cheng Zhang & Zhiping Zhou, 2018. "From funding liquidity to market liquidity: Evidence from the index options market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(10), pages 1189-1205, October.
  30. Rourke, Thomas, 2014. "The delta- and vega-related information content of near-the-money option market trading activity," Journal of Financial Markets, Elsevier, vol. 20(C), pages 175-193.
  31. Pinder, Sean, 2003. "An empirical examination of the impact of market microstructure changes on the determinants of option bid-ask spreads," International Review of Financial Analysis, Elsevier, vol. 12(5), pages 563-577.
  32. Chen, Carl R. & Lung, Peter P. & Tay, Nicholas S. P., 2005. "Information flow between the stock and option markets: Where do informed traders trade?," Review of Financial Economics, Elsevier, vol. 14(1), pages 1-23.
  33. Han‐Sheng Chen & Sanjiv Sabherwal, 2019. "Overconfidence among option traders," Review of Financial Economics, John Wiley & Sons, vol. 37(1), pages 61-91, January.
  34. Faff, Robert & Hillier, David, 2005. "Complete markets, informed trading and equity option introductions," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1359-1384, June.
  35. Jun Pan & Allen M. Poteshman, 2006. "The Information in Option Volume for Future Stock Prices," The Review of Financial Studies, Society for Financial Studies, vol. 19(3), pages 871-908.
  36. Li, Wei-Xuan & French, Joseph J. & Chen, Clara Chia-Sheng, 2017. "Informed trading in S&P index options? Evidence from the 2008 financial crisis," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 40-65.
  37. Sung Won Seo & Suk Joon Byun & Jun Sik Kim, 2020. "Index options open interest and stock market returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 989-1010, June.
  38. Dew-Becker, Ian & Giglio, Stefano & Le, Anh & Rodriguez, Marius, 2017. "The price of variance risk," Journal of Financial Economics, Elsevier, vol. 123(2), pages 225-250.
  39. William Bertin & Paul Fowler & David Michayluk & Laurie Prather, 2010. "An analysis of Australian exchange traded options and warrants," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(2), pages 150-172, April.
  40. 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.
  41. Turkington, Joshua & Walsh, David, 2000. "Informed traders and their market preference: Empirical evidence from prices and volumes of options and stock," Pacific-Basin Finance Journal, Elsevier, vol. 8(5), pages 559-585, October.
  42. Koedijk, Kees & de Jong, Cyriel & Schnitzlein, Charles, 2002. "Stock Market Quality in the Prescence of a Traded Option," CEPR Discussion Papers 3173, C.E.P.R. Discussion Papers.
  43. Du, Brian & Fung, Scott, 2018. "Directional information effects of options trading: Evidence from the banking industry," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 149-168.
  44. Maraachlian, Hilda & Rourke, Thomas, 2014. "Delta and vega exposure trading in stock and option markets," Journal of Financial Markets, Elsevier, vol. 18(C), pages 96-125.
  45. Alejandro Bernales & Thanos Verousis & Nikolaos Voukelatos & Mengyu Zhang, 2020. "What do we know about individual equity options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 67-91, January.
  46. Patrick De Fontnouvelle & Raymond P. H. Fishe & Jeffrey H. Harris, 2003. "The Behavior of Bid-Ask Spreads and Volume in Options Markets during the Competition for Listings in 1999," Journal of Finance, American Finance Association, vol. 58(6), pages 2437-2464, December.
  47. Zebedee, Allan A. & Kasch-Haroutounian, Maria, 2009. "A closer look at co-movements among stock returns," Journal of Economics and Business, Elsevier, vol. 61(4), pages 279-294, July.
  48. Gajewski, Jean-Francois & Gresse, Carole, 2007. "Centralised order books versus hybrid order books: A paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange)," Journal of Banking & Finance, Elsevier, vol. 31(9), pages 2906-2924, September.
  49. Choy, Siu Kai & Wei, Jason, 2012. "Option trading: Information or differences of opinion?," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2299-2322.
  50. 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.
  51. Schlag, Christian & Stoll, Hans, 2005. "Price impacts of options volume," Journal of Financial Markets, Elsevier, vol. 8(1), pages 69-87, February.
  52. Chesney, Marc & Crameri, Remo & Mancini, Loriano, 2015. "Detecting abnormal trading activities in option markets," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 263-275.
  53. Energy Sonono, Masimba & Phillip Mashele, Hopolang, 2016. "Estimation of bid-ask prices for options on LIBOR based instruments," Finance Research Letters, Elsevier, vol. 19(C), pages 33-41.
  54. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  55. Wei, Jason & Zheng, Jinguo, 2010. "Trading activity and bid-ask spreads of individual equity options," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2897-2916, December.
  56. Khoury, Nabil & Perrakis, Stylianos & Savor, Marko, 2011. "Competition, interlisting and market structure in options trading," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 104-117, January.
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