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Henry Y. K. Yip,David Michayluk,Laurie Prather,Li-Anne E. Woo 한국증권학회 2009 Asia-Pacific Journal of Financial Studies Vol.38 No.3
This paper develops a cross-market model to extend Huang and Stoll (1997) by utiliz-ing information from trade flows in the options market. Empirical tests reveal a significant increase in the estimated adverse information component, which stays consistent irrespective of the degree of option leverage. Further, intraday variation in stock bid-ask spread components is affected by the stock trade size and the extent of imbalance in information-based option trades. Including the options market information in decomposition of the stock bid-ask spread enhances the quality of its estimation.