Volatility Discovery Across Stock Limit Order Book and Options Markets

Journal of Futures Markets, Forthcoming

46 Pages Posted: 14 Sep 2013

See all articles by Qin Emma Wang

Qin Emma Wang

Oklahoma State University - Tulsa

Date Written: September 12, 2013

Abstract

Foucault (1999) provides a theoretical basis for how stock price volatility influences the aggressiveness of limit order traders. I investigate volatility discovery across stock limit order book and options markets using a broad panel of NYSE-listed stocks from November 2007 to January 2008 and find strong evidence that, as predicted, the aggressiveness of the stock limit order book and option volatility trading Granger-cause each other. Further, I find that the aggressiveness of the stock limit order book and option volatility trading are inversely related, which is both statistically and economically significant.

Suggested Citation

Wang, Qin Emma, Volatility Discovery Across Stock Limit Order Book and Options Markets (September 12, 2013). Journal of Futures Markets, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2324835

Qin Emma Wang (Contact Author)

Oklahoma State University - Tulsa ( email )

Department of Finance
461 Business Building
Stillwater, OK 74078
United States
918-594-8394 (Phone)
918-594-8281 (Fax)

HOME PAGE: http://business.okstate.edu/directory/694480.html

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
95
Abstract Views
736
Rank
495,746
PlumX Metrics