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Volume, volatility and information linkages in the stock and option markets

Ho, Kin-Yip; Zheng, L; Zhang, Zhaoyong

Description

This paper examines the relationship between option trading activity and stock market volatility. Although the option market is uniquely suited for trading on volatility information, there is little analysis on how trading activity in this market is linked to stock price volatility. The bulk of the discussion tends to focus on whether trading activity in the stock market is informative about stock volatility. To analyze the information in option trading activity for stock market volatility, a...[Show more]

CollectionsANU Research Publications
Date published: 2012
Type: Journal article
URI: http://hdl.handle.net/1885/69249
Source: Review of Financial Economics
DOI: 10.1016/j.rfe.2012.06.001

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