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

Jens A Stephan and Robert E Whaley

Journal of Finance, 1990, vol. 45, issue 1, 191-220

Abstract: This study investigates intraday relations between price changes and trading volumes of options and stocks for a sample of firms whose options traded on the Chicago Board Options Exchange during the first quarter of 1986. After purging the price change series of the effects of bid/ask spreads, multivariate time-series analysis is used to estimate the lead/lag relation between the price changes in the option and stock markets. The results indicate that price changes in the stock market lead the option market by as much as fifteen minutes. The analysis of trading volume indicates that the stock market lead may be even longer. Copyright 1990 by American Finance Association.

Date: 1990
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