کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5085149 1477935 2011 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Are broad market shocks anticipated by investors? Evidence from major equity and index options markets
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Are broad market shocks anticipated by investors? Evidence from major equity and index options markets
چکیده انگلیسی
This paper examines trading activity in five index options markets before significant price shocks in the underlying asset (S&P100, FTSE100, CAC40, DAX30, and AEX). The results indicate abnormal call and put option trading volume before price shocks for a large number of cases, implying that market participants anticipate shocks and use the options market as the venue for their trading. This pattern is similar for all markets and persistent for three different pre-event periods (10, 20, and 30 days), two different periods used to calculate the benchmark period trading volume (100 and 140 days), and of whether open interest is used instead of trading volume. Further tests suggest that investors may use both long and short strategies.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 20, Issue 3, June 2011, Pages 127-133
نویسندگان
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