کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9732245 | 1480930 | 2005 | 23 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Information flow between the stock and option markets: Where do informed traders trade?
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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 paper investigates the flow of information between the equity and options markets. We argue that informed traders, in deciding where to place their trades, are not entirely indifferent to option moneyness, degree of information asymmetry, and option liquidity. Unlike some previous studies that find information to flow unilaterally from equity to options markets, we control for the above factors and discover feedback relations between trades in out-of-the-money (OTM) options and the underlying equities. The finding is consistent with the pooling equilibrium hypothesis, which asserts that informed traders trade in both the equity and options markets. Some informed traders are probably attracted to the out-of-the money options because of their higher liquidity, lower premiums, and higher delta-to-premium ratios, hence, lending support to the liquidity and leverage hypothesis.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Review of Financial Economics - Volume 14, Issue 1, 2005, Pages 1-23
Journal: Review of Financial Economics - Volume 14, Issue 1, 2005, Pages 1-23
نویسندگان
Carl R. Chen, Peter P. Lung, Nicholas S.P. Tay,