haku: @journal_id 592 / yhteensä: 267
viite: 19 / 267
Tekijä: | Hatch, B.C. |
Otsikko: | The intraday relation between NYSE and CBOE prices |
Lehti: | Journal of Financial Research
2003 : SPRING, VOL. 26:1, p. 97-112 |
Asiasana: | Information Stock markets SHARE PRICES Volatility |
Kieli: | eng |
Tiivistelmä: | 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. |
SCIMA