The Interrelation of Stock and Options Market Trading‐Volume Data
实证研究普通股与看涨期权交易量的关系，发现看涨期权交易领先标的股票交易一天，对研究信息流动和市场效率的学者有参考价值。
ABSTRACT This research empirically investigates the relation between common stock and call option trading volumes. The paper hyothesizes and tests a sequential flow of information between the stock and option markets. If information trading for CBOE‐listed firms is predominantly accomplished through option trading, then existing research methodologies may be biased against finding any significant economic consequences in those instances where option listing is an important variable. Results indicate that trading in call options leads trading in the underlying shares, with a one‐day lag.