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References (8)
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The Interrelation of Stock and Options Market Trading-Volume DataJournal of Finance, 43
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Hasung Jang, P. Venkatesh (1991)
Consistency between Predicted and Actual Bid-Ask Quote-RevisionsJournal of Finance, 46
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Mihir Bhattacharya (1987)
Price Changes of Related Securities: The Case of Call Options and StocksJournal of Financial and Quantitative Analysis, 22
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A. Kyle (1985)
Continuous Auctions and Insider TradingEconometrica, 53
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Steven Manaster, Richard Rendleman (1982)
Option Prices as Predictors of Equilibrium Stock PricesJournal of Finance, 37
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Thomas Finucane (1991)
Put-Call Parity and Expected ReturnsJournal of Financial and Quantitative Analysis, 26
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J. Stephan, R. Whaley (1990)
Intraday Price Change and Trading Volume Relations in the Stock and Stock Option MarketsJournal of Finance, 45
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M. Gibbons (1982)
MULTIVARIATE TESTS OF FINANCIAL MODELS A New ApproachJournal of Financial Economics, 10
- Publisher
- Wiley
- Copyright
- 1993 The American Finance Association
- ISSN
- 0022-1082
- eISSN
- 1540-6261
- DOI
- 10.1111/j.1540-6261.1993.tb05136.x
- Publisher site
- See Article on Publisher Site
Abstract
ABSTRACT 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.
Journal
The Journal of Finance – Wiley
Published: Dec 1, 1993