Option volume and volatility response to scheduled economic news releases

Journal of Futures Markets

Volumn 23, Issue 4, 2003, Pages 315-345

  Nofsinger, John R ^a   Prucyk, Brian ^b  

^a WASHINGTON STATE UNIVERSITY   (United States)

^b MARQUETTE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0037376662     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.10064     Document Type: Review

References (37)

1. Adams, G., McQueen, G., & Wood, R. (1999). The effects of inflation news on high frequency stock returns (Working paper). University of Memphis.
2. Almeida, A., Goodhart, C., & Payne, R. (1998). The effects of macroeconomic news on high frequency exchange rate behavior. Journal of Financial and Quantitative Analysis, 33, 383-408.
3. Andersen, T. G., & Bollerslev, T. (1998). Deutsche mark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies. Journal of Finance, 53, 219-265.
4. Balduzzi, P., Elton, E., & Green, T. C. (2001). Economic news and bond prices: Evidence from the U.S. treasury market. Journal of Financial and Quantitative Analysis, 36, 523-544.
5. Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49, 307-343.
6. Broadie, M., & Detemple, J. (1996). American options valuation: New bonds, approximations, and a comparison of existing methods. Review of Financial Studies, 9, 1211-1250.
7. Chan, K., Chung, Y. P., & Johnson, H. (1995). The intraday behavior of bid-ask spreads for NYSE stocks and CBOE options. Journal of Financial and Quantitative Analysis, 30, 329-346.
8. Christensen, B. J., & Prabhala, N. R. (1998). The relation between implied and realized volatility. Journal of Financial Economics, 50, 125-150.
9. Christie-David, R., & Chaudhry, M. (1999). Liquidity and maturity effects around news releases. Journal of Financial Research, 22, 47-67.
10. Ederington, L. H., & Lee, J. H. (1993). How markets process information: News releases and volatility. Journal of Finance, 48, 1161-1191.
11. Ederington, L. H., & Lee, J. H. (1995). The short-run dynamics of the price adjustment to new information. Journal of Financial and Quantitative Analysis, 30, 117-134.
12. Ederington, L. H., & Lee, J. H. (1996). The creation and resolution of market uncertainty: The impact of information releases on implied volatility. Journal of Financial and Quantitative Analysis, 31, 513-539.
13. Flannery, M., & Protopapadakis, A. (in press). Macroeconomic factors do influence aggregate stock returns. Review of Financial Studies.
14. Fleming, J. (1998). The quality of market volatility forecasts implied by S & P 100 Index option prices. Journal of Empirical Finance, 5, 317-345.
15. Fleming, J., Ostdiek, B., & Whaley, R. E. (1995). Predicting stock market volatility: A new measure. Journal of Futures Markets, 15, 265-302.
16. Fleming, M. J., & Remolona, E. M. (1999). Price formation and liquidity in the U.S. treasury market: The response to public information. Journal of Finance, 54, 1901-1915.
17. Han, L. M., Kling, J. L., & Sell, C. W. (1999). Foreign exchange futures volatility: Day-of-the-week, intra-day, and maturity patterns in the presence of macroeconomic announcements. Journal of Futures Markets, 19, 665-693.
18. Han, L. M., & Ozocak, O. (in press). Risk-return relationships in foreign currency futures following macroeconomic announcements. Journal of Futures Markets.
19. Hong, H., & Stein, J. (1999). A unified theory of underreaction, momentum trading and overreaction in asset markets. Journal of Finance, 54, 2143-2184.
20. Hull, J. (1997). Options, futures, and other derivatives. Upper Saddle River, NJ: Prentice Hall.
21. Hull, J., & White, A. (1987). The pricing of options on assets with stochastic volatilities. Journal of Finance, 42, 281-300.
22. Jones, C. M., Lamont, O., & Lumsdaine, R. (1998). Macroeconomic news and bond market volatility. Journal of Financial Economics, 47, 315-337.
23. Kim, O., & Verrecchia, R. E. (1991a). Trading volume and price reactions to public announcements. Journal of Accounting Research, 29, 302-321.
24. Kim, O., & Verrecchia, R. E. (1991b). Market reaction to anticipated announcements. Journal of Financial Economics, 30, 273-310.
25. Kim, O., & Verrecchia, R. E. (1994). Market liquidity and volume around earnings announcements. Journal of Accounting and Economics, 17, 41-67.
26. Lee, C. M. C. (1992). Earnings news and small traders. Journal of Accounting and Economics, 15, 265-302.
27. Lee, C. M. C., & Ready, M. A. (1991). Inferring trade direction from intraday data. Journal of Finance, 46, 733-746.
28. McQueen, G., Pinegar, M., & Thorley, S. (1996). Delayed reaction to good news and the cross-autocorrelation of portfolio returns. Journal of Finance, 51, 889-920.
29. McQueen, G., & Roley, V. (1993). Stock prices, news, and business conditions. Review of Financial Studies, 6, 683-707.
30. Nofsinger, J. (2001). The impact of public information on investors. Journal of Banking and Finance, 25, 1339-1366.
31. Schwert, G. (1981). The adjustment of stock prices to information about inflation, Journal of Finance, 36, 15-29.
32. Schwert, G. (1989). Why does stock market volatility change over time? Journal of Finance, 44, 1115-1153.
33. Shefrin, H., & Statman, M. (1985). The disposition to sell winners too early and ride losers too long: Theory and evidence. Journal of Finance, 40, 777-792.
34. Tkac, P. A. (1999). A trading volume benchmark: Theory and evidence. Journal of Financial and Quantitative Analysis, 34, 89-114.
35. Toft, K. B., & Prucyk, B. (1997). Options on leveraged equity: Theory and empirical tests. Journal of Finance, 52, 1151-1180.
36. Veronesi, P. (1999). Stock market overreaction to bad news in good times: A rational expectations equilibrium model. Review of Financial Studies, 12, 975-1007.
37. Whaley, R. E. (1993). Derivatives on market volatility: Hedging tools long overdue. Journal of Derivatives, 1, 71-84.