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Cited by 444

The DOI matches its Crossref record; 13 of the 13 references it cites were found in a registry or an index.

Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets

STEPHAN, JENS A., WHALEY, ROBERT E.·1990·The Journal of Finance
DOI 10.1111/j.1540-6261.1990.tb05087.x
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Abstract

This study investigates intraday relations between price changes and trading volume of options and stocks for a sample of firms whose options traded on the CBOE during the first quarter of 1986. After purging the price change series of the effects of bid/ask spreads, multivariate time‐series analysis is used to estimate the lead/lag relation between the price changes in the option and stock markets. The results indicate that price changes in the stock market lead the option market by as much as fifteen minutes. The analysis of trading volume indicates that the stock market lead may be even longer.

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Crossref · 10.1111/j.1540-6261.1990.tb05087.x

Cites

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Metadata

Authors
STEPHAN, J. A., & WHALEY, R. E.
Venue
The Journal of Finance
Publisher
Wiley
Published
1990-03
Volume
45
Issue
1
Pages
191-220
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.1990.tb05087.x
OpenAlex
W2003268269
Cited by
444
References
13
FWCI
12.29
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets. https://app.cochat.ai/papers/10.1111/j.1540-6261.1990.tb05087.x
The paper
STEPHAN, J. A., & WHALEY, R. E. (1990). Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1990.tb05087.x

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.