The Impact of Options Trading on the Market Quality of the Underlying Security: An Empirical Analysis

Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

1985 • 6,148 citations

Inferring Trade Direction from Intraday Data

1991 • 2,983 citations

Information Effects on the Bid‐Ask Spread

1983 • 1,852 citations

THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS

1978 • 1,374 citations

Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis

1993 • 1,050 citations

The Only Game in Town

1971 • 899 citations

Options and Efficiency

1976 • 851 citations

Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes

1994 • 659 citations

Estimation of the Bid–Ask Spread and Its Components: A New Approach

1991 • 630 citations

The Summary Informativeness of Stock Trades: An Econometric Analysis

1991 • 571 citations

Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement

1993 • 524 citations

A Bayesian model of intraday specialist pricing

1991 • 357 citations

The Price Effect of Option Introduction

1989 • 337 citations

An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies

1988 • 336 citations

Options markets and stock return volatility

1989 • 289 citations

S&P 500 Cash Stock Price Volatilities

1989 • 255 citations

Turn‐of‐Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects

1990 • 231 citations

Option listing and stock returns

1990 • 218 citations

Liquidity of the CBOE Equity Options

1990 • 217 citations

The effects of option listing on the underlying stocks' return processes

1991 • 191 citations

Changes in the Financial Market: Welfare and Price Effects and the Basic Theorems of Value Conservation

1982 • 129 citations

Options Trading and the Bid-Ask Spread of the Underlying Stocks

1992 • 124 citations

Liquidity of the CBOE Equity Options

1990 • 45 citations

Bid-ask spreads and volatility estimates

1989 • 20 citations