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Intraday Trading Patterns in the Equity Options Markets

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  • Aggarwal, Raj
  • Gruca, Edward

Abstract

Based 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.

Suggested Citation

  • Aggarwal, Raj & Gruca, Edward, 1993. "Intraday Trading Patterns in the Equity Options Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 16(4), pages 285-297, Winter.
  • Handle: RePEc:bla:jfnres:v:16:y:1993:i:4:p:285-97
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    References listed on IDEAS

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    1. Kraus, Alan & Smith, Maxwell, 1989. " Market Created Risk," Journal of Finance, American Finance Association, vol. 44(3), pages 557-569, July.
    2. Trueman, Brett, 1988. " A Theory of Noise Trading in Securities Markets," Journal of Finance, American Finance Association, vol. 43(1), pages 83-95, March.
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    8. Machina, Mark J, 1987. "Choice under Uncertainty: Problems Solved and Unsolved," Journal of Economic Perspectives, American Economic Association, vol. 1(1), pages 121-154, Summer.
    9. Vijh, Anand M, 1988. " Potential Biases from Using Only Trade Prices of Related Securities on Different Exchanges: A Comment," Journal of Finance, American Finance Association, vol. 43(4), pages 1049-1055, September.
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    Cited by:

    1. Bildik, Recep, 2001. "Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market," Emerging Markets Review, Elsevier, vol. 2(4), pages 387-417, December.
    2. 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, vol. 4(3), pages 311-313.
    3. Köksal, Bülent, 2012. "An Analysis of Intraday Patterns and Liquidity on the Istanbul Stock Exchange," MPRA Paper 35968, University Library of Munich, Germany.

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