Trading volume lead/lag relations between the ASX and ASX option market: implications of market microstructure

This study documents the intraday lead/lag relation between trading volumes of stocks and stock options traded on the ASX and ASX Options Market respectively. A stock lead of up to 15 minutes is initially documented. Differences in intraday lead/lag relations may occur because of the different natur...

Full description

Saved in:
Bibliographic Details
Published in:Australian journal of management 1999-06, Vol.24 (1), p.77-94
Main Author: Jarnecic, Elvis
Format: Article
Language:English
Subjects:
Derivatives Automated Trading System
Hedging (Finance)
Motivation
Options (Finance)
Options (Stock exchange)
Prices
Stock exchange
Stock Exchange Automated Trading System
Stock options
Stocks
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:This study documents the intraday lead/lag relation between trading volumes of stocks and stock options traded on the ASX and ASX Options Market respectively. A stock lead of up to 15 minutes is initially documented. Differences in intraday lead/lag relations may occur because of the different nature of equities and options as instruments of investment, or market microstructure differences, or both these factors The study finds no evidence that trading on private infor Mation causes the option market to lead. Instead, market microstructure differences induce relatively infrequent trading in option markets and consequently cause stocks to lead Specifically, we find the stock lead is eliminated when only periods of frequent trading are examined. Also, the infrequent trading induced stock lead is partly explained by the different opening procedures of the two markets
ISSN:0312-8962
1327-2020
DOI:10.1177/031289629902400105