We investigate the contribution of option markets to price discovery, using a modification of <link rid="b28">Hasbrouck's (1995)</link>"information share" approach. Based on five years of stock and options data for 60 firms, we estimate the option market's contribution to price discovery to be about 17% on average....

This article examines stock market volatility before and after the introduction of equity‐index futures trading in twenty‐five countries, using various models that account for asynchronous data, conditional heteroskedasticity, asymmetric volatility responses, and the joint dynamics of each...