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Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets
Author(s) -
STEPHAN JENS A.,
WHALEY ROBERT E.
Publication year - 1990
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1990.tb05087.x
Subject(s) - economics , financial economics , volume weighted average price , stock market , stock (firearms) , market maker , stock price , cost price , non qualified stock option , econometrics , monetary economics , series (stratigraphy) , mechanical engineering , paleontology , horse , engineering , biology
This study investigates intraday relations between price changes and trading volume of options and stocks for a sample of firms whose options traded on the CBOE during the first quarter of 1986. After purging the price change series of the effects of bid/ask spreads, multivariate time‐series analysis is used to estimate the lead/lag relation between the price changes in the option and stock markets. The results indicate that price changes in the stock market lead the option market by as much as fifteen minutes. The analysis of trading volume indicates that the stock market lead may be even longer.