Detecting Informed Trading Activities in the Options Markets
نویسندگان
چکیده
منابع مشابه
Informed Trading in Stock and Option Markets
We investigate the contribution of option markets to price discovery, using a modification of Hasbrouck’s (1995) “information share” approach. Based on five years of stock and options data for 60 firms, we estimate the option market’s contribution to price discovery to be about 17% on average. Option market price discovery is related to trading volume and spreads in both markets, and stock vola...
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We investigate informed trading activity in equity options prior to the announcement of corporate mergers and acquisitions (M&A). For the target companies, we document pervasive directional options activity, consistent with strategies that would yield abnormal returns to investors with private information. This is demonstrated by positive abnormal trading volumes, excess implied volatility and ...
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We quantify the pervasiveness of informed trading activity in target companies’ equity options before M&A announcements. About 25% of takeovers have positive abnormal volumes, which are greater for short-dated out-of-the-money calls, consistent with bullish directional trading ahead of the announcement. Over half of this abnormal activity cannot be explained by speculation, news and rumors, tra...
متن کاملAmbiguity about Informed Trading in Dealer Markets - An Experiment
We use an economic experiment to examine the impact of an ambiguous level of asymmetric information on the behavior of security dealers. Specifically, we distinguish three types of uncertainty with respect to informed trading: risk, compound risk, and ambiguity; for both a monopoly and a duopoly market setting. We find that dealer’s bidding behavior is less aggressive under an ambiguous level o...
متن کاملUncertainty about Informed Trading in Dealer Markets - An Experiment∗
We use an economic experiment to examine the impact of an uncertain level of asymmetric information on the behavior of security dealers. Specifically, we distinguish three types of uncertainty with respect to informed trading risk, compound risk, and ambiguity for both a monopoly and a duopoly market setting. We find that dealers’ bidding behavior is less aggressive under ambiguity and compound...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.1522157