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The Informational Role of Option Trading Volume in Equity Index Options Markets · Study

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ArticleThe Informational Role of Option Trading Volume in Equity Index Options Markets

Ghulam Sarwar2005

Article2005

The Informational Role of Option Trading Volume in Equity Index Options Markets

27 citations·0/0 files stored·Review of Quantitative Finance and Accounting

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1973The Pricing of Options and Corporate Liabilities 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1993Measuring and Testing the Impact of News on Volatility 1991Measuring the Information Content of Stock Trades 2000Forecasting Economic Time Series

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2003The interrelation of price volatility and trading volume of currency optionsarticle · 33 shared references 2000The Impact of Derivatives on Cash Markets: What Have We Learned?article · 14 shared references 2005Informational Content of Option Volume Prior to Takeoversarticle · 13 shared references 1999Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Marketreport · 13 shared references 2004Complete markets, informed trading and equity option introductionsarticle · 13 shared references 2005Trading on the information content of open interest: Evidence from the US equity options marketarticle · 13 shared references

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Year2005

Typearticle

Published2005-03-01

VenueReview of Quantitative Finance and Accounting

ISSN-L0924-865X

Languageen

Citations27

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s11156-005-6335-0

openalex_workW2016545202

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