Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
961050 | Journal of Financial Markets | 2013 | 23 Pages |
Abstract
⺠This paper investigates informed trading in a cross-market environment. ⺠We employ a unique dataset that covers intraday option and short equity data. ⺠We examine the lead-lag relationship between signed put volume and short sales. ⺠Our results show that short sales tend to convey more information than put volume. ⺠The put option market contains more information before negative corporate events.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Xiaoting Hao, Eunju Lee, Natalia Piqueira,