The Intraday Relation between NYSE and Cboe Prices

Posted: 10 Jun 2002

See all articles by Brian C. Hatch

Brian C. Hatch

University of Cincinnati - Department of Finance - Real Estate

Abstract

I extend the literature regarding price discovery across stock and option markets through an empirical model that allows information to flow through an error-correction term and volatility. NYSE prices tend to lead CBOE prices by at least thirty minutes over the entire six-year sample period. In addition, informed trading in the options market is revealed more strongly through persistence in volatility and the spillover of volatility to the stock market than it is through returns.

JEL Classification: G13, G14, G19

Suggested Citation

Hatch, Brian C., The Intraday Relation between NYSE and Cboe Prices. Available at SSRN: https://ssrn.com/abstract=300441

Brian C. Hatch (Contact Author)

University of Cincinnati - Department of Finance - Real Estate ( email )

Carl H. Lindner Hall
P.O. Box 210195
Cincinnati, OH 45221
United States
513-556-7076 (Phone)
513-556-0979 (Fax)

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