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The Intraday Relation between NYSE and CBOE Prices

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  • Brian C. Hatch

Abstract

I extend the literature regarding price discovery across stock and option markets 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. In addition, informed trading in the options market is revealed more strongly through persistence in volatility and the spillover of volatility to the stock market than it is through returns.

Suggested Citation

  • Brian C. Hatch, 2003. "The Intraday Relation between NYSE and CBOE Prices," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 26(1), pages 97-112, March.
    • Handle: RePEc:bla:jfnres:v:26:y:2003:i:1:p:97-112
    DOI: 10.1111/1475-6803.00047
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    Cited by:

    1. Kai-Li Wang & Mei-Ling Chen, 2007. "The dynamics in the spot, futures, and call options with basis asymmetries: an intraday analysis in a generalized multivariate GARCH-M MSKST framework," Review of Quantitative Finance and Accounting, Springer, vol. 29(4), pages 371-394, November.

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