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The Informational Role of Option Trading Volume in Equity Index Options Markets
16 references·0 citing·37 second hop
The Informational Role of Option Trading Volume in Equity Index Options Markets (2005)The Informational Role of Option Trading …Theory of rational option pricing (2005)Theory of rational option pri…Dynamic Volume-Return Relation of Individual Stocks (2002)Dynamic Volume-Return Relatio…Forecasting Economic Time Series (2000)Forecasting Economic Time Ser…Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Option Volume and Stock Price…Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Nonparametric Estimation of S…Implied Volatility Functions: Empirical Tests (1998)Implied Volatility Functions:…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets (1990)Intraday Price Change and Tra…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Forecasting Economic Time Series (1979)Forecasting Economic Time Ser…The information content of option prices and a test of market efficiency (1978)The information content of op…Fact and Fantasy in the Use of Options (1975)Fact and Fantasy in the Use o…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Does Algorithmic Trading Improve Liquidity? (2011)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Inferring Trade Direction from Intraday Data (1991)The High‐Volume Return Premium (2001)Demand-Based Option Pricing (2005)The Information in Option Volume for Future Stock Prices (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A long memory property of stock market returns and a new model (1993)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Introductory Econometrics for Finance (2008)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)An Almost Ideal Demand System (1980)Empirical exchange rate models of the seventies (1983)Option pricing: A simplified approach (1979)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 2000Forecasting Economic Time Series1,768 cited
  • 1998Implied Volatility Functions: Empirical Tests1,248 cited
  • 1998Option Volume and Stock Prices: Evidence on Where Informed Traders Trade1,089 cited
  • 1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices1,060 cited
  • 1975Fact and Fantasy in the Use of Options1,021 cited
  • 1979Forecasting Economic Time Series1,004 cited
  • 2002Dynamic Volume-Return Relation of Individual Stocks689 cited
  • 1978The information content of option prices and a test of market efficiency485 cited
  • 1990

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Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets
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