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An analysis of Australian exchange traded options and warrants

  • William Bertin


  • Paul Fowler


  • David Michayluk


  • Laurie Prather


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Article provided by Springer in its journal Journal of Economics and Finance.

Volume (Year): 34 (2010)
Issue (Month): 2 (April)
Pages: 150-172

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Handle: RePEc:spr:jecfin:v:34:y:2010:i:2:p:150-172
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  1. Jones, Charles M. & Kaul, Gautam & Lipson, Marc L., 1994. "Information, trading, and volatility," Journal of Financial Economics, Elsevier, vol. 36(1), pages 127-154, August.
  2. Nam, Seung Oh & Oh, SeungYoung & Kim, Hyun Kyung & Kim, Byung Chun, 2006. "An empirical analysis of the price discovery and the pricing bias in the KOSPI 200 stock index derivatives markets," International Review of Financial Analysis, Elsevier, vol. 15(4-5), pages 398-414.
  3. Chan, Kalok & Chan, K C & Karolyi, G Andrew, 1991. "Intraday Volatility in the Stock Index and Stock Index Futures Markets," Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 657-84.
  4. 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.
  5. Coughenour, Jay & Shastri, Kuldeep, 1999. "Symposium on Market Microstructure: A Review of Empirical Research," The Financial Review, Eastern Finance Association, vol. 34(4), pages 1-27, November.
  6. Garbade, Kenneth D & Silber, William L, 1979. "Dominant and Satellite Markets: A Study of Dually-Traded Securities," The Review of Economics and Statistics, MIT Press, vol. 61(3), pages 455-60, August.
  7. Eun, Cheol S. & Shim, Sangdal, 1989. "International Transmission of Stock Market Movements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 241-256, June.
  8. 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.
  9. Yiuman Tse & Paramita Bandyopadhyay & Yang-Pin Shen, 2006. "Intraday Price Discovery in the DJIA Index Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(9-10), pages 1572-1585.
  10. 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.
  11. Sugato Chakravarty & Huseyin Gulen & Stewart Mayhew, 2004. "Informed Trading in Stock and Option Markets," Journal of Finance, American Finance Association, vol. 59(3), pages 1235-1258, 06.
  12. Stoll, Hans R. & Whaley, Robert E., 1990. "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(04), pages 441-468, December.
  13. 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.
  14. He, Ling T., 1997. "Price discovery in the Hong Kong security markets: evidence from cointegration tests," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(2), pages 157-169, July.
  15. Werner, Ingrid M & Kleidon, Allan W, 1996. "U.K. and U.S. Trading of British Cross-Listed Stocks: An Intraday Analysis of Market Integration," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 619-64.
  16. 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.
  17. Vijh, Anand M, 1990. " Liquidity of the CBOE Equity Options," Journal of Finance, American Finance Association, vol. 45(4), pages 1157-79, September.
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