search query: @author Finucane, T. / total: 2
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| Author: | Finucane, T. |
| Title: | A new measure of the direction and timing of information flow between markets |
| Journal: | Journal of Financial Markets
1999 : MAY, VOL. 2:2, p. 135-152 |
| Index terms: | FINANCIAL MARKETS INFORMATION MEASUREMENT |
| Language: | eng |
| Abstract: | This paper examines the direction and timing of the flow of information between CBOE call options and the underlying NYSE stocks using a new methodology that avoids potential biases that can be introduced by using fixed-length time intervals. For the stock in the sample, stock quotes tend to lead option quotes, but the length of the lead, ranging from a few seconds to six minutes, is shorter than previously thought. Options also occasionally lead stocks, but there is no evidence that the option lead exceeds three minutes. |
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