Search Results for: Empirical Analysis Of The Intraday Lead Lag Relationship Between Option And Underlying Stock Market

Prior empirical research has failed to settle the question of lead/lag effects between stock and option markets. This study investigates the relation between cr

We show that if a particular lead-lag relation exists between the option and stock markets, the implied volatility in option prices can be biased depending on t

The efficient-market hypothesis (EMH) asserts that financial markets are "informationally efficient," i.e. all relevant information will be fully and immediatel