WHY OPTION PRICES LAG STOCK-PRICES - A TRADING-BASED EXPLANATION

被引：86

作者：

CHAN, K ^{[1
]}

CHUNG, YP ^{[1
]}

JOHNSON, H ^{[1
]}

机构：

[1] UNIV CALIF RIVERSIDE,RIVERSIDE,CA 92521

来源：

JOURNAL OF FINANCE | 1993年 / 48卷 / 05期

关键词：

D O I：

10.2307/2329075

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

While many studies find that option prices lead stock prices, Stephan and Whaley (1990) find that stocks lead options. We find no evidence that options, even deep out-of-the-money options, lead stocks. After confirming Stephan and Whaley's results, we show their results can be explained as spurious leads induced by infrequent trading of options. We show that the stock lead disappears when the average of the bid and ask prices is used instead of transaction prices. Hence, we find no evidence of arbitrage opportunities associated with the stock lead.

引用

页码：1957 / 1967

页数：11

共 9 条

[1] THE INTERRELATION OF STOCK AND OPTIONS MARKET TRADING-VOLUME DATA [J].