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There are 11054 results for: content related to: Intraday price formation and bid–ask spread components: A new approach using a cross-market model

  1. Article title for AB28005: The Impact of Liquidity on Option Prices

    Aggressive Behavior

    Accepted manuscript online: 3 MAR 2014, DOOJIN RYU

    DOI: 10.1002/ab.28005

  2. The Information Content of Trading Activity and Quote Changes: Evidence from VIX Options

    Journal of Futures Markets

    Volume 35, Issue 8, August 2015, Pages: 715–737, Wei-Che Tsai, Ying-Tzu Chiu and Yaw-Huei Wang

    Version of Record online : 15 JAN 2015, DOI: 10.1002/fut.21710

  3. Informed Trading in Stock and Option Markets

    The Journal of Finance

    Volume 59, Issue 3, June 2004, Pages: 1235–1257, Sugato Chakravarty, Huseyin Gulen and Stewart Mayhew

    Version of Record online : 27 NOV 2005, DOI: 10.1111/j.1540-6261.2004.00661.x

  4. Tipping and Option Trading

    Financial Management

    Volume 43, Issue 3, Fall 2014, Pages: 671–701, Pei Peter Lung and Pisun Xu

    Version of Record online : 24 SEP 2014, DOI: 10.1111/fima.12052

  5. A Characterization of the Daily and Intraday Behavior of Returns on Options

    The Journal of Finance

    Volume 49, Issue 2, June 1994, Pages: 557–579, AAMIR M. SHEIKH and EHUD I. RONN

    Version of Record online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1994.tb05152.x

  6. The Components of the Bid-Ask Spread: the Case of the Athens Stock Exchange

    European Financial Management

    Volume 15, Issue 1, January 2009, Pages: 112–144, Timotheos Angelidis and Alexandros Benos

    Version of Record online : 22 JAN 2008, DOI: 10.1111/j.1468-036X.2007.00416.x

  7. ADVERSE SELECTION, INVENTORY-HOLDING COSTS, AND DEPTH

    Journal of Financial Research

    Volume 24, Issue 1, Spring 2001, Pages: 65–82, Frank Heflin and Kenneth W. Shaw

    Version of Record online : 27 AUG 2014, DOI: 10.1111/j.1475-6803.2001.tb00818.x

  8. Business Cycles and Net Buying Pressure in the S&P 500 Futures Options

    European Financial Management

    Volume 16, Issue 4, September 2010, Pages: 624–657, Kam C. Chan, Carl R. Chen and Peter P. Lung

    Version of Record online : 19 AUG 2010, DOI: 10.1111/j.1468-036X.2008.00477.x

  9. INTRADAY TRADING PATTERNS IN THE EQUITY OPTIONS MARKETS

    Journal of Financial Research

    Volume 16, Issue 4, Winter 1993, Pages: 285–297, Raj Aggarwal and Edward Gruca

    Version of Record online : 27 AUG 2014, DOI: 10.1111/j.1475-6803.1993.tb00148.x

  10. The Information Content of Trades: An Analysis of KOSPI 200 Index Derivatives

    Journal of Futures Markets

    Volume 35, Issue 3, March 2015, Pages: 201–221, Doojin Ryu

    Version of Record online : 29 AUG 2013, DOI: 10.1002/fut.21637

  11. Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models

    The Journal of Finance

    Volume 48, Issue 1, March 1993, Pages: 187–211, F. DOUGLAS FOSTER and S. VISWANATHAN

    Version of Record online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1993.tb04706.x

  12. Does informed trading occur in the options market? Some revealing clues

    Accounting & Finance

    Volume 50, Issue 3, September 2010, Pages: 555–579, Natividad Blasco, Pilar Corredor and Rafael Santamaría

    Version of Record online : 17 AUG 2010, DOI: 10.1111/j.1467-629X.2009.00337.x

  13. Order Flow and Expected Option Returns

    The Journal of Finance

    Volume 71, Issue 2, April 2016, Pages: 673–708, DMITRIY MURAVYEV

    Version of Record online : 18 MAR 2016, DOI: 10.1111/jofi.12380

  14. You have free access to this content
    Information Effects of Trade Size and Trade Direction: Evidence from the KOSPI 200 Index Options Market

    Asia-Pacific Journal of Financial Studies

    Volume 39, Issue 3, June 2010, Pages: 301–339, Hee-Joon Ahn, Jangkoo Kang and Doojin Ryu

    Version of Record online : 25 MAY 2010, DOI: 10.1111/j.2041-6156.2010.01016.x

  15. Liquidity and Information Flow around Monetary Policy Announcement

    Journal of Money, Credit and Banking

    Volume 45, Issue 5, August 2013, Pages: 781–820, KEE H. CHUNG, JOHN ELDER and JANG-CHUL KIM

    Version of Record online : 11 JUL 2013, DOI: 10.1111/jmcb.12025

  16. The Role of the Options Market in the Dissemination of Private Information

    Journal of Business Finance & Accounting

    Volume 31, Issue 7-8, September 2004, Pages: 1015–1042, Timothy Cairney and Judith Swisher

    Version of Record online : 25 AUG 2004, DOI: 10.1111/j.0306-686X.2004.00565.x

  17. Informed trading in the index option market: The case of KOSPI 200 options

    Journal of Futures Markets

    Volume 28, Issue 12, December 2008, Pages: 1118–1146, Hee-Joon Ahn, Jangkoo Kang and Doojin Ryu

    Version of Record online : 17 OCT 2008, DOI: 10.1002/fut.20369

  18. Tests on the Monotonicity Properties of KOSPI 200 Options Prices

    Journal of Futures Markets

    Volume 36, Issue 7, July 2016, Pages: 625–646, Myounghwa Sim, Doojin Ryu and Heejin Yang

    Version of Record online : 20 NOV 2015, DOI: 10.1002/fut.21763

  19. The Intraday Relation between NYSE and CBOE Prices

    Journal of Financial Research

    Volume 26, Issue 1, March 2003, Pages: 97–112, Brian C. Hatch

    Version of Record online : 31 JAN 2003, DOI: 10.1111/1475-6803.00047

  20. Informed Trading around Merger Announcements: An Empirical Test Using Transaction Volume and Open Interest in Options Market

    Financial Review

    Volume 36, Issue 2, May 2001, Pages: 45–74, Narayanan Jayaraman, Melissa B. Frye and Sanjiv Sabherwal

    Version of Record online : 9 MAR 2005, DOI: 10.1111/j.1540-6288.2001.tb00010.x