Option Volume and Volatility Response to Scheduled Economic News Releases: Evidence of Informed Trading

1999 ◽  
Author(s):  
John R. Nofsinger ◽  
Brian R. Prucyk
Keyword(s):  
Informed Trading ◽  
Economic News ◽  
News Releases ◽  
Option Volume

Option volume and volatility response to scheduled economic news releases

2003 ◽  
Vol 23 (4) ◽  
pp. 315-345 ◽  
Author(s):  
John R. Nofsinger ◽  
Brian Prucyk
Keyword(s):  
Economic News ◽  
News Releases ◽  
Option Volume

Last hour momentum in the Chinese stock market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Lu Yang
Keyword(s):  
Trading Volume ◽  
Trading Strategy ◽  
Chinese Stock Market ◽  
Content Type ◽  
Order Imbalance ◽  
Economic News ◽  
News Releases ◽  
Retail Investors ◽  
High Volatility ◽  
Exchange Traded Fund

PurposeTo capture the last hour momentum over the intraday session, the authors develop a trading strategy for the exchange-traded fund (ETF) that is effective because of the T+0 trading rule. This strategy generates annualized excess return of 9.673%.Design/methodology/approachIn this study, the authors identify a last hour momentum pattern in which the sixth (seventh) half-hour return predicts the next half-hour return by employing high frequency 2012–2017 data from the China Securities Index (CSI) 300 and its ETF.FindingsOverall, both the predictability and the trading strategy are statistically and economically significant. In addition, the strategy performs more strongly on high volatility days, high trading volume days, high order-imbalance days and days without economic news releases than on other days.Originality/valueNoise trading, late-information trading, infrequent rebalancing and disposition effects from retail investors may account for this phenomenon.

scholarly journals Economic News Releases and Financial Markets in South Africa

Economies ◽  
2019 ◽  
Vol 7 (4) ◽  
pp. 112
Author(s):  
Konstantinos Gkillas ◽  
Dimitrios Vortelinos ◽  
Christos Floros ◽  
Athanasios Tsagkanos
Keyword(s):  
South Africa ◽  
Foreign Exchange ◽  
Global Financial Crisis ◽  
Foreign Exchange Markets ◽  
Economic News ◽  
News Releases ◽  
Before And After ◽  
Exchange Markets ◽  
The Global Financial Crisis ◽  
The Impact

We examine the impact of economic news releases on returns, volatility and jumps of the stock and foreign exchange markets of South Africa. We also assess the impact of macroeconomic determinants. The dataset range is fifteen years covering the period from January, 2000 to December, 2014. Results are robust to different sub-periods before and after the global financial crisis of 2008. Volatility is estimated with the use of the median realized variance estimator. Jumps are also detected. The impact of the announcements is assessed building using regression techniques. Returns, volatility and jumps of both stock and foreign exchange markets are significantly explained nationally by macroeconomic fundamentals and economic news releases.

scholarly journals Responses of Economic News on Asset Prices: A Study of Indian Stock Index Futures

2020 ◽  
Vol 9 (SI) ◽  
pp. 3-14
Author(s):  
Ameet Kumar Banerjee
Keyword(s):  
Stock Index ◽  
Stock Index Futures ◽  
Trading Activity ◽  
Index Futures ◽  
Economic News ◽  
Futures Contract ◽  
News Releases ◽  
The Relationship ◽  
Activity Variables

The study examines the role of economic news surprises on the volatility of the returns of the Indian Index futures market. Theoretical literature posits that news arrivals influence price discovery. In similar lines, we investigated the relationship between economic news releases, trading activity variables, and returns volatility. We find that economic news surprises and trading activity variables significantly affect returns volatility. However, among volume and news surprises, economic news surprises are much stronger informational signals, and the news surprises effects are found seemingly asymmetric in the index futures contract.

scholarly journals The effect of the european economic news releases to the US financial markets in the crisis period

2016 ◽  
Vol 13 (4) ◽  
pp. 33-57 ◽  
Author(s):  
Dimitrios Vortelinos ◽  
Konstantinos Gkillas
Keyword(s):  
Financial Markets ◽  
Finite Sample ◽  
Detection Scheme ◽  
European Economic ◽  
Crisis Period ◽  
Economic News ◽  
News Releases ◽  
The Us ◽  
Sharpe Ratios ◽  
Volatility Jumps

This paper evaluates the effect of all European economic news releases on the US financial markets for the main crisis period from June 2007 up to October 2011. Evaluation concerns Sharpe ratios, as well as magnitude and frequency of volatility jumps for the periods before and after a news release. Sharpe ratios are examined with the risk of the excess returns being estimated by the flat-top Bartlett kernel estimator of Barndorff-Nielsen et al. (2008) with an optimal (in a finite sample) choice for the number of autocovariances, as suggested by Bandi and Russell (2011). Volatility jumps are detected according to the jump detection scheme of Ait-Sahalia and Jacod (2009). Keywords: European economic news releases,crisis; macroeconomic variables, Sharpe ratio,jumps. JEL Classification: G01, G15

Do economic news releases affect tail risk? Evidence from an emerging market

2020 ◽  
pp. 101727
Author(s):  
Konstantinos Gkillas ◽  
Christoforos Konstantatos ◽  
Athanasios Tsagkanos ◽  
Costas Siriopoulos
Keyword(s):  
Emerging Market ◽  
Tail Risk ◽  
Economic News ◽  
News Releases

Informed Options Trading Prior to Takeover Announcements: Insider Trading?

2019 ◽  
Vol 65 (12) ◽  
pp. 5697-5720 ◽  
Author(s):  
Patrick Augustin ◽  
Menachem Brenner ◽  
Marti G. Subrahmanyam
Keyword(s):  
Stock Market ◽  
Insider Trading ◽  
Informed Trading ◽  
Securities And Exchange Commission ◽  
Equity Options ◽  
Corporate Insiders ◽  
Beneficial Ownership ◽  
Options Trading ◽  
Option Volume ◽  
The U.S

We quantify the pervasiveness of informed trading activity in target companies’ equity options before the announcements of 1,859 U.S. takeovers between 1996 and 2012. About 25% of all takeovers have positive abnormal volumes, which are greater for short-dated, out-of-the-money calls, consistent with bullish directional trading before the announcement. Over half of this abnormal activity is unlikely due to speculation, news and rumors, trading by corporate insiders, leakage in the stock market, deal predictability, or beneficial ownership filings by activist investors. We also examine the characteristics of option trades litigated by the Securities and Exchange Commission (SEC) for alleged illegal insider trading. Although the characteristics of such trades closely resemble the patterns of abnormal option volume in the U.S. takeover sample, we find that the SEC litigates only about 8% of all deals in it. This paper was accepted by Lauren Cohen, finance.

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