Information and the arrival rate of option trading volume

2021 ◽  
Author(s):  
Mengyu Zhang ◽  
Thanos Verousis ◽  
Iordanis Kalaitzoglou
Keyword(s):  
Trading Volume ◽  
Arrival Rate ◽  
Option Trading

Information and the Arrival Rate of Option Trading Volume

2020 ◽  
Author(s):  
Mengyu Zhang ◽  
Thanos Verousis ◽  
Iordanis Kalaitzoglou
Keyword(s):  
Trading Volume ◽  
Arrival Rate ◽  
Option Trading

scholarly journals Investment Strategies, Trading Information And Option Market: Evidence From The Toronto Stock Exchange

2011 ◽  
Vol 8 (12) ◽  
Author(s):  
Tov Assogbavi ◽  
Siméon Fagnissè
Keyword(s):  
Trading Volume ◽  
Stock Exchange ◽  
Price Change ◽  
Seemingly Unrelated Regression ◽  
Investment Strategies ◽  
Option Markets ◽  
Toronto Stock Exchange ◽  
Equity Issues ◽  
Option Trading ◽  
Option Market

This paper empirically investigates the relationship between equity price change and volume in order to determine the extent to which option trading affects the absolute price?volume relationship. The analysis is based on Zellner's 'Seemingly Unrelated Regression, (SUR) method shows that, on average, the trading volume of option eligible equity issues is less sensitive to price changes than the volume of equity issues without options. This result supports the hypothesis (Ross, 1976) that investors may be more inclined to turn to the option market rather than acting directly on the securities in order to carry out their different investment strategies on the stock market. A direct implication of this finding suggests that investment strategies that use both volume and price change to make inferences for investment decisions have to integrate, at least when dealing with an option eligible equity, both stock and option markets into their analysis.

A pre-predictive analysis of trading volume in the options market

2021 ◽  
Vol 27 (9) ◽  
pp. 1962-1979
Author(s):  
Anastasiya O. GOTFRID ◽  
Lyudmila A. GUZIKOVA
Keyword(s):  
Trading Volume ◽  
Predictive Analysis ◽  
Options Market ◽  
Scientific Methods ◽  
Option Trading ◽  
General Scientific ◽  
Trading Volumes ◽  
The Stability ◽  
The Relationship

Subject. This article examines the relationship between the three indicators of the derivatives market, namely price, trading volume, and open interest. Objectives. The article aims to characterize the dynamics of option trading volumes in terms of regularity and predictability of changes. Methods. For the study, we used general scientific methods. Results. The article substantiates the expediency of using fractal analysis methods to identify the stability of market trends, describes approaches to the classification of options, on the basis of which the range of options traded on the Moscow Exchange is characterized, and conducts a pre-predictive analysis of the time series of trading volume. Relevance. The results of the study can be useful to persons studying financial markets, market analysts and developers of option contracts.

scholarly journals The effect of option trading

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Keming Li
Keyword(s):  
Information Asymmetry ◽  
Trading Volume ◽  
Corporate Investment ◽  
The United States ◽  
Corporate Policies ◽  
Option Trading ◽  
Public Data ◽  
Prior Literature ◽  
Alternative Measures ◽  
Investment And Financing

AbstractThis paper studies the effect of option trading on corporate investment and financing policies. Based on prior literature, I hypothesize that option market induces informed trading and thus reduces information asymmetry and the cost of capital. As a result, firms with high option trading have more investment and financing. Specifically, based on the United States public data, this paper finds that option trading volume increases corporate investment and financing, but reduces cash holdings and corporate payouts. These results are robust to the inclusion of industry or firm fixed effect, a control for endogenous options trading, and the use of alternative measures of option trading and corporate policies. The effect of option trading is stronger for firms with higher information asymmetry problems. Finally, this paper finds the results are inconsistent with the “quiet Life” hypothesis and the catering hypothesis.

Uji Komparasi Abnormal Return, Trading Volume, Trading Frequency, Dan Bid-Ask Spread Sebelum Dan Sesudah Share Split

2016 ◽  
Vol 8 (2) ◽  
pp. 24-45
Author(s):  
Tania Hayu Safira ◽  
Febryanti Simon
Keyword(s):  
Abnormal Return ◽  
Trading Volume ◽  
Stock Exchange ◽  
Distributed Data ◽  
Trading Frequency ◽  
Bid Ask Spread ◽  
Analysis Technique ◽  
Before And After ◽  
Test Of Hypothesis ◽  
Kolmogorov Smirnov

This study is event study that was conduct to examine the differences of abnormal return, trading volume, trading frequency and bid-ask spread before and after the events of share split. The object of this research is the companies that did share split and listed in Indonesia Stock Exchange in 2008 - 2015. The samples are 30 companies chosen by purposive sampling method. The criteria are the company did not do corporate action right issue, pre-emptive rights, a share dividend and bonus shares in the same year with share split. Event window used in this study was 30 days consisting of 15 days before and 15 days after the share split. Data analysis technique begins with a test of normality using Kolmogorov – Smirnov and transform for unnormally distributed data. Then, test of hypothesis using Paired t – test to compare the differences before and after share split. The results of this study showed that volume trading activity and trading frequency had significant differences before and after the share split. While, variable abnormal return and bid-ask spread had not significant differences before and after the share split. Keywords: Abnormal return, bid-ask spread, share split, trading frequency, trading volume.

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