The Interrelation of Stock and Options Market Trading-Volume Data

This research empirically investigates the relation between common stock and call option trading volumes. The paper hyothesizes and tests a sequential flow of information between the stock and option markets. If information trading for CBOE-listed firms is predominantly accomplished through option t...

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Bibliographic Details
Published in:The Journal of finance (New York) 1988-09, Vol.43 (4), p.949-964
Main Author: ANTHONY, JOSEPH H.
Format: Article
Language:English
Subjects:
Call options
Causality
Common stock
Economic models
Mathematical models
Modeling
Options markets
Options on stocks
Options trading
Put & call options
Residual volume
Securities markets
Significance level
Stock exchange
Stock exchanges
Stock prices
Tests
Volume
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Summary:This research empirically investigates the relation between common stock and call option trading volumes. The paper hyothesizes and tests a sequential flow of information between the stock and option markets. If information trading for CBOE-listed firms is predominantly accomplished through option trading, then existing research methodologies may be biased against finding any significant economic consequences in those instances where option listing is an important variable. Results indicate that trading in call options leads trading in the underlying shares, with a one-day lag.
ISSN:0022-1082
1540-6261
DOI:10.1111/j.1540-6261.1988.tb02614.x