THE INTERACTION BETWEEN TRADING VOLUME OF STOCKS AND OPTIONS - SOME STATISTICAL EVIDENCE

The finance literature provides several examples of research into the interaction between stock and option prices. This paper examines the f eedback hypothesis for trading volume on the Amsterdam stock and optio ns markets using a generalized Granger-Sims framework. The most import ant finding of this paper is that very often causality runs from optio ns trade to the stock market which seems to support the feeling of the business profession and the main hypothesis of this paper. Statistica lly it is interesting that the results indicate very convincingly that the relations reveal no stability over time.