中山管理評論

  期刊全文閱覽

中山管理評論  2001/9

第9卷英文特刊  p.19-47


題目
The Information Transmission between the Stock Market and the Options Market─The Case of IBM
The Information Transmission between the Stock Market and the Options Market─The Case of IBM
(633505457164843750.pdf 691KB)

作者
Min-Hsien Chiang/National Cheng-Kung University
Min-Hsien Chiang/

National Cheng-Kung University


摘要(中文)

(633505457164687500.pdf 124KB)

關鍵字(中文)

Lead-Lag, VAR, Bid-Ask Spread, Information Transmission


摘要(英文)

This paper investigates the behavior of information transmission between IBM stock and its option. We adopt the intradaily data constituted of quoted bid and ask prices of the stock and options markets in our empirical tests. By using intradaily quotes, we can avoid data bias problems existing within the trade prices. We analyze the lead/lag relationship between the stock quotes and the option quotes, and provides information explanation ability of each quoted price. We also delineate the impulse response behaviors of each quoted price. The results show that in terms of information explanation capability and the time length of impacts of innovations on other variables, the stock quotes perform well and have great effects on option quotes, however the reverse is not valid. Meanwhile, the stock quotes lead the options quote while the option asks change have very minor effects on the stock quotes.

(633505457164687500.pdf 124KB)

關鍵字(英文)

Lead-Lag, VAR, Bid-Ask Spread, Information Transmission


領域
Other

政策與管理意涵


參考文獻