This project presents three empirical studies on problems related to stock and stock index options and the marketplace these are traded on. In the first essay, estimators of stock market volatility are tested on the Stockholm Stock Exchange. The basic conclusion is that, due to serial correlation, a simple aggregation of squared returns is a poor estimator of true volatility. The second and third essays deal with the microstructure of the German Options and Financial Futures Exchange. In essay two, the symmetry of trades relative to the quoted spreads is examined. Ask side trades are found to be smaller on average than bid side trades, and the distribution of trades is found to be connected to the development of the price of the underlying security. In the last essay, the lead-lag relationship between stock returns and the distribution of call and put trades between the bid and the ask is investigated. An unidirectional information flow from the German stock market to the options market is detected.
|Effective start/end date||01.01.1994 → 31.12.1997|
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