Is Option Market Only Informative Prior to Extreme Informational Event? Empirical Analysis of Option Volume Before Earnings Announcement

2008 ◽  
Author(s):  
William M. Y. Cheung ◽  
Ying chao Zhang
Keyword(s):  
Empirical Analysis ◽  
Earnings Announcement ◽  
Informative Prior ◽  
Option Volume ◽  
Option Market

According to Time-moneyness in Option Market on Stock Price Volatility

2008 ◽  
Vol 16 (2) ◽  
pp. 37-65
Author(s):  
Ki Yool Ohk ◽  
Woo Ae Jang
Keyword(s):  
Stock Price ◽  
Price Volatility ◽  
Stock Market Volatility ◽  
Positive Relation ◽  
Stock Volatility ◽  
Put Option ◽  
Daily Data ◽  
Option Volume ◽  
The Impact ◽  
Option Market

The purpose of this study is to examine the impact of the trade-activities in option market on stock market volatility by using KOSPI 200 daily data. First. we divided the option Volume from open interest. then classify the unexpected volume from expected volume to group the trade-activities In option market according to Investor's type. The result of test find that the unexpected volume of call option and the stock volatility have positive relationship. while one of put option and the stock volatility do not have statistically significant relation. Then. we also divide the option volume Into the classified option volume according to time-maturity. We expect that the informed trader and uninformed trader trade the classified option differently. As a result. in the case of the call ootlon. the trade-activity of the unexpected volume in deep in the money option and deep out 이 the money option has positive relation with the stock volatility. and the at the money option below a month to maturity has positive relation with the stock volatility. This result shows that the informed trader prefer deep in the money option. deep out of the money option and at the money option below a month to maturity among the various option series. But. In the case of put option, it is so hard to find the result of the Informed trader's behavior.

Lead-Lag Relationship between Return and Volume in the KOSPI200 Spot and Option Markets

2007 ◽  
Vol 15 (2) ◽  
pp. 121-143
Author(s):  
Jae Ha Lee ◽  
Deok Hee Hahn
Keyword(s):  
Causal Relationship ◽  
Direct Impact ◽  
Option Markets ◽  
Indirect Impact ◽  
Option Volume ◽  
Option Market

This study explores the Granger causal relationship between return and volume in the KOSPI200 spot and option markets for the period from December 13. 2002 to December 9. 2004. using minute-by-minute data. Specifically, we examine the lead-lag relationship among OPtion volume, option return, cash volume, and cash return to determine whether option volume and return impact cash return. Our results show that option volume has no direct impact on cash return as cash return unilaterally leads option volume‘ While option volume impacts cash volume. cash return unilaterally leads cash volume. implying no indirect impact of option volume on cash return. However, there is evidence that option return impacts cash return directly, given a bilateral causality between option return and casll return. Option return also impacts cash volume, but again cash volume has no impact on cash return. meaning no indirect impact of option return on cash return. Our findings were generally robust across days of the week and different maturities. Finally, we analyzed lead-lag relationship within the option market. and found a bilateral causality between option volume and option return. This implies that option volume may impact cash return indirectly via option return.

An Empirical Analysis of the Obtrusiveness of and Participants' Compliance with the Electronically Activated Recorder (EAR)

2007 ◽  
Vol 23 (4) ◽  
pp. 248-257 ◽  
Author(s):  
Matthias R. Mehl ◽  
Shannon E. Holleran
Keyword(s):  
Empirical Analysis ◽  
Sampling Method ◽  
Daily Life ◽  
Assessment Method ◽  
Data Confidentiality ◽  
Short Term ◽  
Naturally Occurring ◽  
Two Samples ◽  
Audio Recorder ◽  
Term Monitoring

Abstract. In this article, the authors provide an empirical analysis of the obtrusiveness of and participants' compliance with a relatively new psychological ambulatory assessment method, called the electronically activated recorder or EAR. The EAR is a modified portable audio-recorder that periodically records snippets of ambient sounds from participants' daily environments. In tracking moment-to-moment ambient sounds, the EAR yields an acoustic log of a person's day as it unfolds. As a naturalistic observation sampling method, it provides an observer's account of daily life and is optimized for the assessment of audible aspects of participants' naturally-occurring social behaviors and interactions. Measures of self-reported and behaviorally-assessed EAR obtrusiveness and compliance were analyzed in two samples. After an initial 2-h period of relative obtrusiveness, participants habituated to wearing the EAR and perceived it as fairly unobtrusive both in a short-term (2 days, N = 96) and a longer-term (10-11 days, N = 11) monitoring. Compliance with the method was high both during the short-term and longer-term monitoring. Somewhat reduced compliance was identified over the weekend; this effect appears to be specific to student populations. Important privacy and data confidentiality considerations around the EAR method are discussed.

Empirical Analysis of Clinical Evaluations on Children Involved in the Child Protection System: The Role of Age and Gender

2000 ◽  
Author(s):  
Erika Felix ◽  
Anjali T. Naik-Polan ◽  
Christine Sloss ◽  
Lashaunda Poindexter ◽  
Karen S. Budd
Keyword(s):  
Empirical Analysis ◽  
Child Protection ◽  
Protection System ◽  
Age And Gender ◽  
Clinical Evaluations ◽  
And Gender
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