The Informational Role of Stock and Option Volume

By Kalok Chan, Y. Chung, Wai-Ming Fong. 2002

324 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/ef235207f70f1513fdc897a2a18f58140154c092

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Citations in the corpus

The Information of Option Volume for Future Stock Prices (2004, unknown): “Following previous empirical studies in this area [e.g., Easley, O’Hara, and Srinivas (1998), Chan, Chung, and Fong (2002)], we use the Lee and Ready (1991) algorithm to back out buyer-initiated put and call option volume from publicly observable trade and quote records from the Chicago Board…”
Informed trading in the index option market: The case of KOSPI 200 options (2008, background): “More recently, Chan et al. (2002) ﬁnd that the option net trading volume has no effect on price discovery but that option quote revisions do, suggesting that informed investors use limit orders but not market orders in the option market.”
Is There Price Discovery in Equity Options (2013, methodology): “On the other hand, Chan, Chung, and Fong (2002) extend the approach of Hasbrouck (1991) to multiple markets and find that new information in the options market comes in the form of quote revisions rather than trades.”
The Joint Cross Section of Stocks and Options (2013, methodology): “We introduce several measures of option volatility innovations ranging from simple first differences to time-series and cross-sectional estimates in Section 2.3.”
Options and the Bubble (2006, unknown): “See, among others, Cao, Chen and Griffin (2003), Chan, Chung, and Fong (2002) and Easley, O'Hara, and Srinivas (1998).”
What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns? (2010, background): “C, we examine time-series behavior of volatility skew, and whether predictability lasts beyond one week.”
Does Option Trading Convey Stock Price Information (2014, background): “For example, Chan, Chung, and Fong (2002) have only 14 stocks in their sample in which the stock with the most active option trading, General Electric (GE), has an average daily trading volume of 2,595 option lots.”
Informational Content of Option Volume Prior to Takeovers (2005, unknown): “Examples include, but not limited to, Anthony (1988), Stephan and Whaley (1990), Vijh (1990), Easley, O’Hara, and Srinivas (1998), Chan, Chung, and Fong (2002), and Pan and Poteshman (2003).”
Stealth Trading in Options Markets (2007, background): “…the lead-lag relation between the stock and options prices (see, for example, Manaster and Rendleman (1982), Stephan and Whaley (1990), Vijh (1990), Chan, Chung, and Johnson (1993), Chan, Chung, and Fong (2002), Cao, Chen, and Griffin (2005), Schlag and Stoll (2002), and Finucane (1999)).”
Volatility Information Trading in the Option Market (2008, unknown): “and Lee (1997), Easley, O’Hara, and Srinivas (1998), Chan, Chung, and Fong (2002) ,”
Informed Trading in Stock and Option Markets (2004, background): “…in our sample, the table reports the average daily option contract volume (aggregated across strikes and maturities), average daily stock volume (in 1,000’s of shares), average effective spreads for ATM short-term options and for the underlying stock, and the volatility of the underlying stock.”