کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5090684 1375642 2010 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Does information drive trading in option strategies?
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Does information drive trading in option strategies?
چکیده انگلیسی

We study trading in option strategies in the FTSE-100 index market. Trades in option strategies represent around 37% of the total number of trades and over 75% of the total trading volume in our sample. We find some evidence that order flow in volatility-sensitive option strategies contains information about future realized volatility. We do not find evidence that order flow in directionally-sensitive option strategies contains information about future returns. Overall, our evidence suggests that option strategies are used both by traders who possess non-public information about future volatility and by uninformed speculators who appear to follow unprofitable trend chasing strategies.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 34, Issue 10, October 2010, Pages 2370-2385
نویسندگان
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