[The procedure for opening stocks on the NYSE appears to affect price volatility. An analytical framework for assessing the magnitude of the structurally induced volatility is presented. The ratio of variance of open-to-open returns to close-to-close returns is shown to be consistently greater than one for NYSE common stocks during the period 1982 through 1986. The greater volatility at the open is not attributable to the way in which public information is released since both the open-to-open return and the close-to-close returns span the same period of time. Instead, the greater volatility appears to be attributable to private information revealed in trading and to temporary price deviations induced by specialist and other traders. The implied cost of immediacy at the open is significantly higher than at the close. Other empirical evidence in this article documents the volume of trading at the open, the time delays between the exchange opening and the first transaction in a stock, the difference in daytime volatility versus overnight volatility, and the extent to which volatility is related to trading volume.]

This study investigates intraday relations between price changes and trading volumes of options and stocks for a sample of firms whose options traded on the Chicago Board Options Exchange 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.

In rational, efficiently functioning markets, the returns on stock index and stock index futures contracts should be perfectly, contemporaneously correlated. This study investigates the time series properties of 5-minute, intraday returns of stock index and stock index futures contracts, and finds that S&P 500 and MM index futures returns tend to lead stock market returns by about five minutes, on average, but occasionally as long as 10 minutes or more, even after stock index returns have been purged of infrequent trading effects; however, the effect is not completely unidirectional, with lagged stock index returns having a mild positive predictive impact on futures returns.

The procedure for opening stocks on the NYSE appears to affect price volatility. An analytical framework for assessing the magnitude of the structurally induced volatility is presented. The ratio of variance of open-to-open returns to close-to-close returns is shown to be consistently greater than one for NYSE common stocks during the period 1982 through 1986. The greater volatility at the open is not attributable to the way in which public information is released since both the open-to-open return and the close-to-close return span the same period of time. Instead, the greater volatility appears to be attributable to private information revealed in trading and to temporary price deviations induced by specialist and other traders. The implied cost of immediacy at the open is significantly higher than at the close. Other empirical evidence in this article documents the volume of trading at the open, the time delays between the exchange opening and the first transaction in a stock, the difference in daytime volatility versus overnight volatility, and the extent to which volatility is related to trading volume.

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.

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.