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Option trade volume and volatility of banks’ stock returns

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  • Martín Saldías
  • Rafael Barbosa

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  • Martín Saldías & Rafael Barbosa, 2013. "Option trade volume and volatility of banks’ stock returns," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    • Handle: RePEc:ptu:bdpart:r201304
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    References listed on IDEAS

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    1. Tae Park & Lorne Switzer & Robert Bedrossian, 1999. "The interactions between trading volume and volatility: evidence from the equity options markets," Applied Financial Economics, Taylor & Francis Journals, vol. 9(6), pages 627-637.
    2. Ho, Kin-Yip & Zheng, Lin & Zhang, Zhaoyong, 2012. "Volume, volatility and information linkages in the stock and option markets," Review of Financial Economics, Elsevier, vol. 21(4), pages 168-174.
    3. Jun Pan & Allen M. Poteshman, 2006. "The Information in Option Volume for Future Stock Prices," Review of Financial Studies, Society for Financial Studies, vol. 19(3), pages 871-908.
    4. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    5. Christie, Andrew A., 1982. "The stochastic behavior of common stock variances : Value, leverage and interest rate effects," Journal of Financial Economics, Elsevier, vol. 10(4), pages 407-432, December.
    6. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    7. Michael Boluch & Trevor Chamberlain, 1997. "Option volume and stock price behavior: Some evidence from the Chicago board options exchange," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 25(4), pages 358-370, December.
    8. Paulo M. M. Rodrigues & Antonio Rubia, 2011. "The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(4), pages 449-468, August.
    9. Hamilton, James D. & Susmel, Raul, 1994. "Autoregressive conditional heteroskedasticity and changes in regime," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 307-333.
    10. Chang, Chuang-Chang & Hsieh, Pei-Fang & Wang, Yaw-Huei, 2010. "Information content of options trading volume for future volatility: Evidence from the Taiwan options market," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 174-183, January.
    11. Christensen, B. J. & Prabhala, N. R., 1998. "The relation between implied and realized volatility," Journal of Financial Economics, Elsevier, vol. 50(2), pages 125-150, November.
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