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.
Economics and Hermeneutics looks at the ways that hermeneutics might help economists address problems such as entrepreneurship, price theory, rational expectations, monetary theory, welfare economics ...and economic policy.
Contributors: Lawrence A. Berger , University of Pennsylvania; Tyler Cowen , George Mason University; Richard Ebling , Hillsdale College; Arjo Klamer , George Mason University; Randall Kroszner , University of Chicago; Ludwig M. Lachmann , University of Witwaterstrand; G.B. Madison , McMaster University; Uskali Maki , University of Helsinki; Donald N. McCloskey , University of Iowa; Philip Mirowski , Notre Dame University; Tom G. Palmer , Catholic University; Ralph Rector , George Mason University; Jon D. Wisman , The American University
