148
Views
6
CrossRef citations to date
0
Altmetric
Original Articles

An analysis of split orders in an index options market

&
Pages 473-477 | Published online: 03 Dec 2010

References

  • Admati , A. R. and Pfleiderer , P. 1988 . A theory of intraday patterns: volume and price variability . Review of Financial Studies , 1 : 3 – 40 .
  • Ahn , H. , Kang , J. and Ryu , D. 2008 . Informed trading in the index option market: the case of KOSPI 200 options . Journal of Futures Markets , 28 : 1118 – 46 .
  • Anand , A. and Chakravarty , S. 2007 . Stealth-trading in options markets . Journal of Financial and Quantitative Analysis , 42 : 167 – 88 .
  • Barclay , M. J. and Warner , J. B. 1993 . Stealth and volatility: which trades move prices? . Journal of Financial Economics , 34 : 281 – 306 .
  • Black , F. 1975 . Fact and fantasy in the use of options . Financial Analysts Journal , 31 : 36 – 41 .
  • Blau , M. B , Van Ness , B. F. and Van Ness , R. A. 2009 . Intraday stealth trading: which trades move prices during periods of high volume? . Journal of Financial Research , 32 : 1 – 21 .
  • Chakravarty , S. 2001 . Stealth-trading: which traders’ trades move stock prices? . Journal of Financial Economics , 61 : 289 – 307 .
  • Cho , Y and Engle , R. F. 1999 . Modeling the impacts of market activity on bid-ask spreads in the option market, Economics Working Paper Series 99–05 , San Diego : University of California .
  • Erenburg , G. , Kurov , A. and Lasser , D. 2006 . Trading around macroeconomic announcements: are all traders created equal? . Journal of Financial Intermediation , 15 : 470 – 93 .
  • Gonzalo , J. and Granger , C. W. J. 1995 . Estimation of common long-memory components in cointegrated systems . Journal of Business and Economic Statistics , 13 : 27 – 36 .
  • Hansch , O and Choe , H. 2007 . Which trades move stock prices? , Stealth trading revisited, Working Paper, Penn State University .
  • Hasbrouck , J. 1995 . One security, many markets: determining the contributions to price discovery . Journal of Finance , 50 : 1175 – 99 .
  • Kang , J. and Park , H. 2008 . The information content of net buying pressure: evidence from the KOSPI 200 index option market . Journal of Financial Markets , 11 : 36 – 56 .
  • Kyle , A. S. 1985 . Continuous auctions and insider trading . Econometrica , 53 : 1315 – 35 .
  • Lee , C. M. C. and Ready , M. 1991 . Inferring trade direction from intradaily data . Journal of Finance , 46 : 733 – 46 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.