Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 方伟明教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1093/rfs/15.4.1049 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/71WOS source URL
其它资讯
摘要This article analyzes the intraday interdependence of order flows and price movements for actively traded NYSE stocks and their Chicago Board Options Exchange (CBOE)-traded options. Stock net trade volume (buyer-initiated volume minus seller-initiated volume) has strong predictive ability for stock and option quote revisions, but option net trade volume has no incremental predictive ability. This suggests that informed investors initiate trades in the stock market but not in the option market. On the other hand, both stock and option quote revisions have predictive ability for each other. Thus, while information in the stock market is contained in both quote revisions and trades, information in the option market is contained only in quote revisions.
着者Chan K, Chung YP, Fong WM
期刊名称REVIEW OF FINANCIAL STUDIES
出版年份2002
月份9
日期1
卷号15
期次4
出版社OXFORD UNIV PRESS INC
页次1049 - 1075
国际标準期刊号0893-9454
语言英式英语
Web of Science 学科类别Business & Economics; Business, Finance; BUSINESS, FINANCE; Economics; ECONOMICS
