SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Is There Price Discovery in Equity Options?
16 references·0 citing·44 second hopsampled
Is There Price Discovery in Equity Options? (2010)Is There Price Discovery in Equity Option…Deviations from Put-Call Parity and Stock Return Predictability (2010)Deviations from Put-Call Pari…The Information in Option Volume for Future Stock Prices (2006)The Information in Option Vol…Informed Trading in Stock and Option Markets (2004)Informed Trading in Stock and…Intraday Price Formation in U.S. Equity Index Markets (2003)Intraday Price Formation in U…Trading and Exchanges: Market Microstructure for Practitioners (2002)Trading and Exchanges: Market…The Informational Role of Stock and Option Volume (2002)The Informational Role of Sto…Stalking the “efficient price” in market microstructure specifications: an overview (2002)Stalking the “efficient price…Some Anomalous Evidence Regarding Market Efficiency (2002)Some Anomalous Evidence Regar…Security price adjustment across exchanges: an investigation of common factor components for Dow stocks (2002)Security price adjustment acr…Option Trading, Price Discovery, and Earnings News Dissemination* (1997)Option Trading, Price Discove…One Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…Why Option Prices Lag Stock Prices: A Trading-Based Explanation (1993)Why Option Prices Lag Stock P…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…Liquidity of the CBOE Equity Options (1990)Liquidity of the CBOE Equity …Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets (1990)Intraday Price Change and Tra…Option Prices as Predictors of Equilibrium Stock Prices (1982)Option Prices as Predictors o…Information Effects on the Bid-Ask Spread (1983)Network externalities, competition, and compatibility (1985)Liquidity and Market Structure (1988)Secondary Trading Costs in the Municipal Bond Market (2006)Liquidity in Asset Markets With Search Frictions (2009)The Online Advertising Industry: Economics, Evolution, and Privacy (2009)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)The Pricing of Options and Corporate Liabilities (1973)Trading costs and the relative rates of price discovery in stock, futures, and option markets (1996)High frequency data in financial markets: Issues and applications (1997)Order Flow, Transaction Clock, and Normality of Asset Returns (2000)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)The option to stock volume ratio and future returns (2012)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Do industries lead stock markets? (2006)What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns? (2010)Tail Risk and Asset Prices (2014)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)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Does Algorithmic Trading Improve Liquidity? (2011)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Volatility Spreads and Expected Stock Returns (2009)Jump risk, stock returns, and slope of implied volatility smile (2010)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Cointegration and Tests of Present Value Models (1987)Inferring Trade Direction from Intraday Data (1991)Market microstructure: A survey (2000)An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)Realized Variance and Market Microstructure Noise (2006)A Theory of Intraday Patterns: Volume and Price Variability (1988)Leverage and Volatility Feedback Effects in High-Frequency Data (2006)The Flash Crash: High-Frequency Trading in an Electronic Market (2011)The Flash Crash: High-Frequency Trading in an Electronic Market (2011)O/S: The relative trading activity in options and stock (2009)Volatility Information Trading in the Option Market (2008)Does option trading convey stock price information? (2013)The Joint Cross Section of Stocks and Options (2014)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 2006The Information in Option Volume for Future Stock Prices847 cited
  • 2004Informed Trading in Stock and Option Markets750 cited
  • 2010Deviations from Put-Call Parity and Stock Return Predictability624 cited
  • 2002Trading and Exchanges: Market Microstructure for Practitioners517 cited
  • 2003Intraday Price Formation in U.S. Equity Index Markets502 cited
  • 1990Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets444 cited
  • 1982Option Prices as Predictors of Equilibrium Stock Prices415 cited
  • 2002The Informational Role of Stock and Option Volume316 cited
  • 2002Some Anomalous Evidence Regarding Market Efficiency311 cited
  • 2002Security price adjustment across exchanges: an investigation of common factor components for Dow stocks305 cited
  • 1997Option Trading, Price Discovery, and Earnings News Dissemination*245 cited
  • 2002Stalking the “efficient price” in market microstructure specifications: an overview241 cited
  • 1990Liquidity of the CBOE Equity Options

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

218 cited
  • 1993Why Option Prices Lag Stock Prices: A Trading-Based Explanation215 cited
  • Cited by

    No citing works inside the corpus for this window.