search query: @indexterm volatility / total: 330
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| Author: | Hatch, B.C. |
| Title: | The intraday relation between NYSE and CBOE prices |
| Journal: | Journal of Financial Research
2003 : SPRING, VOL. 26:1, p. 97-112 |
| Index terms: | Information Stock markets SHARE PRICES Volatility |
| Language: | eng |
| Abstract: | The literature regarding price discovery across stock and option markets is extended through an empirical model that allows information to flow through an error-correction term and volatility. NYSE prices tend to lead CBOE prices by at least thirty minutes over the entire six-year sample period. |
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