The Fuqua School of Business, Duke University. This research was supported by the Futures and Options Research Center, Duke University, and Unisys Corporation. The Chicago Board Options Exchange generously supplied the stock option data used in this study. An earlier version of this paper was prepared for the Second International Conference in Finance at HEC-ISA, Jouy-En-Josas, France. Very capable computational assistance was provided by John Sprow. The final version of this paper benefited from the helpful comments of Terry Brookshire, Campbell R. Harvey, Michael L. Hemler, an anonymous referee, and the editor, René M. Stulz.
Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets
Article first published online: 30 APR 2012
1990 The American Finance Association
The Journal of Finance
Volume 45, Issue 1, pages 191–220, March 1990
How to Cite
STEPHAN, J. A. and WHALEY, R. E. (1990), Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets. The Journal of Finance, 45: 191–220. doi: 10.1111/j.1540-6261.1990.tb05087.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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