scholarly journals Price Discovery in Stock and Options Markets

2014 ◽  
Author(s):  
Vinay Patel ◽  
TTlis J. Putniii ◽  
David Michayluk
Keyword(s):  
Price Discovery ◽  
Options Markets

Stealth Trading in Options Markets

2007 ◽  
Vol 42 (1) ◽  
pp. 167-187 ◽  
Author(s):  
Amber Anand ◽  
Sugato Chakravarty
Keyword(s):  
Market Share ◽  
Price Discovery ◽  
High Volume ◽  
Medium Size ◽  
Options Markets ◽  
Information Share ◽  
Trade Size ◽  
Informed Traders

AbstractWe investigate how price discovery occurs in the options markets through traders' trade size choice. By employing transactions data on all options traded on a sample of 100 firms, we show that informed traders fragment their orders into small (medium) trades for low (high) volume contracts. We also find that almost 60% of the price discovery occurs in the exchange with the largest market share for a given option, where informed traders favor medium size trades. Upon examining distinct option series for a given stock, we find that at-the-money calls display the highest information share.

scholarly journals Price Discovery in Stock and Options Markets

2015 ◽  
Author(s):  
Vinay Patel ◽  
TTlis J. Putniii ◽  
David Michayluk ◽  
Sean Foley
Keyword(s):  
Price Discovery ◽  
Options Markets

scholarly journals Price discovery in stock and options markets

2020 ◽  
Vol 47 ◽  
pp. 100524 ◽  
Author(s):  
Vinay Patel ◽  
Tālis J. Putniņš ◽  
David Michayluk ◽  
Sean Foley
Keyword(s):  
Price Discovery ◽  
Options Markets

Price discovery in the U.S. stock and stock options markets: A portfolio approach

2007 ◽  
Vol 9 (1) ◽  
pp. 37-65 ◽  
Author(s):  
Richard Holowczak ◽  
Yusif E. Simaan ◽  
Liuren Wu
Keyword(s):  
Stock Options ◽  
Price Discovery ◽  
Options Markets ◽  
Portfolio Approach ◽  
The U.S

Price Discovery in Futures and Options Markets

2013 ◽  
Vol 34 (9) ◽  
pp. 853-867 ◽  
Author(s):  
Naomi Boyd ◽  
Peter Locke
Keyword(s):  
Price Discovery ◽  
Options Markets ◽  
Futures And Options

Price discovery among SSE 50 Index‐based spot, futures, and options markets

2018 ◽  
Vol 39 (2) ◽  
pp. 238-259 ◽  
Author(s):  
Kwangwon Ahn ◽  
Yingyao Bi ◽  
Sungbin Sohn
Keyword(s):  
Price Discovery ◽  
Options Markets ◽  
Futures And Options

scholarly journals Empirical Evidence of the Causative Association between Spot, Futures and Options Market: An ARDL Model Approach

2020 ◽  
Vol 11 (1) ◽  
pp. 202
Author(s):  
Vaishali Jain ◽  
Rahul Dhaigude ◽  
Rajiv Divekar
Keyword(s):  
Causal Relationship ◽  
Price Discovery ◽  
Stock Exchange ◽  
Spot Market ◽  
Options Markets ◽  
Ardl Model ◽  
Distributed Lag ◽  
Long Run ◽  
Short Run ◽  
Futures And Options

Purpose: The purpose of this paper is to explore and provide evidence about the nature of short run causal relationship as well as the speed with which prices adjust towards achieving the long run equilibrium between cash and FAO markets in India as represented by National Stock Exchange. The study uses individual stocks for studying the underlying relationship.Design/Methodology: The paper makes use of the auto regressive distributed lag model to study the causal relationship between spot, futures and options markets. The study makes use of the 15-minute interval trades data for the purpose of analysis.Findings: The ARDL model shows a long run association between spot, futures & options (both call & put) prices but we do not have sufficient statistical evidence to conclude the short run causal association between the variable except for call and put options.Practical Implications: The results indicate that derivative markets are not leading the spot market but spot market contributes towards price discovery in the FAO markets. Potential investors can take their positions and design their portfolio in the cash and FAO segments using the insights provided by this piece of work.Originality/Value: This paper is an original piece of work towards evidencing the causative association between spot, futures and options markets using individual securities. Matters pertaining to price discovery process in Indian financial markets are issues of interest for financial thinkers, traders, investors and financial analysts.

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