کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
961172 | 929799 | 2008 | 21 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The information content of net buying pressure: Evidence from the KOSPI 200 index option market
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This study investigates whether net buying pressure contains information, using the intraday data of the KOSPI 200 index option market. We document that the net buying pressure of call (put) options raises the implied volatilities of calls (puts), while the net buying pressure of put (call) options lowers the implied volatilities of calls (puts). Moreover, investors appear to buy call (put) options if the underlying asset price is expected to rise (fall). These relationships between net buying pressure and implied volatility can be accounted for by the direction learning hypothesis, which states that traders with information about the future movements of stock prices trade in the option market before trading in the stock market.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 11, Issue 1, February 2008, Pages 36-56
Journal: Journal of Financial Markets - Volume 11, Issue 1, February 2008, Pages 36-56
نویسندگان
Jangkoo Kang, Hyoung-Jin Park,