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Bank Stock and Option Transmissions in Financial Crisis

We investigate bank stock and option transmissions during the financial crisis in 2008. Contemporaneous and lagged-one stock order imbalances have a significant impact on option returns. A time-varying GARCH model is employed to confirm the results. We develop an imbalance-based call (put) trading strategy that buys the call (put) if the previous dayâ€™s stock imbalance is positive, and sells the stock if the previous dayâ€™s stock imbalance is negative. The empirical results do not show a positive premium, which implies market efficiency between option and stock markets in financial crisis