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INTRADAY PRICE CHANGE AND TRADING VOLUME RELATIONS IN THE STOCK AND STOCK OPTION MARKETS
被引:186
作者
:
STEPHAN, JA
论文数:
0
引用数:
0
h-index:
0
STEPHAN, JA
WHALEY, RE
论文数:
0
引用数:
0
h-index:
0
WHALEY, RE
机构
:
来源
:
JOURNAL OF FINANCE
|
1990年
/ 45卷
/ 01期
关键词
:
D O I
:
10.2307/2328816
中图分类号
:
F8 [财政、金融];
学科分类号
:
0202 ;
摘要
:
引用
收藏
页码:191 / 220
页数:30
相关论文
共 18 条
[1]
THE INTERRELATION OF STOCK AND OPTIONS MARKET TRADING-VOLUME DATA
[J].
ANTHONY, JH
论文数:
0
引用数:
0
h-index:
0
ANTHONY, JH
.
JOURNAL OF FINANCE,
1988,
43
(04)
:949
-964
[2]
THE VALUATION OF AMERICAN CALL OPTIONS AND THE EXPECTED EX-DIVIDEND STOCK-PRICE DECLINE
[J].
BARONEADESI, G
论文数:
0
引用数:
0
h-index:
0
机构:
DUKE UNIV,DURHAM,NC 27706
DUKE UNIV,DURHAM,NC 27706
BARONEADESI, G
;
WHALEY, RE
论文数:
0
引用数:
0
h-index:
0
机构:
DUKE UNIV,DURHAM,NC 27706
DUKE UNIV,DURHAM,NC 27706
WHALEY, RE
.
JOURNAL OF FINANCIAL ECONOMICS,
1986,
17
(01)
:91
-111
[3]
PRICE CHANGES OF RELATED SECURITIES - THE CASE OF CALL OPTIONS AND STOCKS
[J].
BHATTACHARYA, M
论文数:
0
引用数:
0
h-index:
0
BHATTACHARYA, M
.
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS,
1987,
22
(01)
:1
-15
[4]
PRICING OF OPTIONS AND CORPORATE LIABILITIES
[J].
BLACK, F
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CHICAGO,CHICAGO,IL 60637
BLACK, F
;
SCHOLES, M
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CHICAGO,CHICAGO,IL 60637
SCHOLES, M
.
JOURNAL OF POLITICAL ECONOMY,
1973,
81
(03)
:637
-654
[5]
ON THE ESTIMATION OF BID-ASK SPREADS - THEORY AND EVIDENCE
[J].
CHOI, JY
论文数:
0
引用数:
0
h-index:
0
CHOI, JY
;
SALANDRO, D
论文数:
0
引用数:
0
h-index:
0
SALANDRO, D
;
SHASTRI, K
论文数:
0
引用数:
0
h-index:
0
SHASTRI, K
.
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS,
1988,
23
(02)
:219
-230
[6]
Cox J.C., 1985, OPTIONS MARKETS
[7]
COMPONENTS OF THE BID-ASK SPREAD AND THE STATISTICAL PROPERTIES OF TRANSACTION PRICES
[J].
GLOSTEN, LR
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV MINNESOTA,CURTIS L CARLSON SCH MANAGEMENT,MINNEAPOLIS,MN 55455
UNIV MINNESOTA,CURTIS L CARLSON SCH MANAGEMENT,MINNEAPOLIS,MN 55455
GLOSTEN, LR
.
JOURNAL OF FINANCE,
1987,
42
(05)
:1293
-1307
[8]
INVESTIGATING CAUSAL RELATIONS BY ECONOMETRIC MODELS AND CROSS-SPECTRAL METHODS
[J].
GRANGER, CWJ
论文数:
0
引用数:
0
h-index:
0
GRANGER, CWJ
.
ECONOMETRICA,
1969,
37
(03)
:424
-438
[9]
HARRIS L, 1989, POWER ROLL SERIAL CO
[10]
ORDER ARRIVAL, QUOTE BEHAVIOR, AND THE RETURN-GENERATING PROCESS
[J].
HASBROUCK, J
论文数:
0
引用数:
0
h-index:
0
HASBROUCK, J
;
HO, TSY
论文数:
0
引用数:
0
h-index:
0
HO, TSY
.
JOURNAL OF FINANCE,
1987,
42
(04)
:1035
-1048
←
1
2
→
共 18 条
[1]
THE INTERRELATION OF STOCK AND OPTIONS MARKET TRADING-VOLUME DATA
[J].
ANTHONY, JH
论文数:
0
引用数:
0
h-index:
0
ANTHONY, JH
.
JOURNAL OF FINANCE,
1988,
43
(04)
:949
-964
[2]
THE VALUATION OF AMERICAN CALL OPTIONS AND THE EXPECTED EX-DIVIDEND STOCK-PRICE DECLINE
[J].
BARONEADESI, G
论文数:
0
引用数:
0
h-index:
0
机构:
DUKE UNIV,DURHAM,NC 27706
DUKE UNIV,DURHAM,NC 27706
BARONEADESI, G
;
WHALEY, RE
论文数:
0
引用数:
0
h-index:
0
机构:
DUKE UNIV,DURHAM,NC 27706
DUKE UNIV,DURHAM,NC 27706
WHALEY, RE
.
JOURNAL OF FINANCIAL ECONOMICS,
1986,
17
(01)
:91
-111
[3]
PRICE CHANGES OF RELATED SECURITIES - THE CASE OF CALL OPTIONS AND STOCKS
[J].
BHATTACHARYA, M
论文数:
0
引用数:
0
h-index:
0
BHATTACHARYA, M
.
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS,
1987,
22
(01)
:1
-15
[4]
PRICING OF OPTIONS AND CORPORATE LIABILITIES
[J].
BLACK, F
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CHICAGO,CHICAGO,IL 60637
BLACK, F
;
SCHOLES, M
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CHICAGO,CHICAGO,IL 60637
SCHOLES, M
.
JOURNAL OF POLITICAL ECONOMY,
1973,
81
(03)
:637
-654
[5]
ON THE ESTIMATION OF BID-ASK SPREADS - THEORY AND EVIDENCE
[J].
CHOI, JY
论文数:
0
引用数:
0
h-index:
0
CHOI, JY
;
SALANDRO, D
论文数:
0
引用数:
0
h-index:
0
SALANDRO, D
;
SHASTRI, K
论文数:
0
引用数:
0
h-index:
0
SHASTRI, K
.
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS,
1988,
23
(02)
:219
-230
[6]
Cox J.C., 1985, OPTIONS MARKETS
[7]
COMPONENTS OF THE BID-ASK SPREAD AND THE STATISTICAL PROPERTIES OF TRANSACTION PRICES
[J].
GLOSTEN, LR
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV MINNESOTA,CURTIS L CARLSON SCH MANAGEMENT,MINNEAPOLIS,MN 55455
UNIV MINNESOTA,CURTIS L CARLSON SCH MANAGEMENT,MINNEAPOLIS,MN 55455
GLOSTEN, LR
.
JOURNAL OF FINANCE,
1987,
42
(05)
:1293
-1307
[8]
INVESTIGATING CAUSAL RELATIONS BY ECONOMETRIC MODELS AND CROSS-SPECTRAL METHODS
[J].
GRANGER, CWJ
论文数:
0
引用数:
0
h-index:
0
GRANGER, CWJ
.
ECONOMETRICA,
1969,
37
(03)
:424
-438
[9]
HARRIS L, 1989, POWER ROLL SERIAL CO
[10]
ORDER ARRIVAL, QUOTE BEHAVIOR, AND THE RETURN-GENERATING PROCESS
[J].
HASBROUCK, J
论文数:
0
引用数:
0
h-index:
0
HASBROUCK, J
;
HO, TSY
论文数:
0
引用数:
0
h-index:
0
HO, TSY
.
JOURNAL OF FINANCE,
1987,
42
(04)
:1035
-1048
←
1
2
→