Two Essays on Option Market Microstructure PDF Download
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Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 130
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Book Description
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 130
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Book Description
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 196
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Book Description
The first essay investigates whether there is an informational linkage between option trading activities and underlying stock depths. I find that option trading activities and underlying stock depths are informative for predicting each other, indicating that a linkage does exist. I further find that underlying stock depths beyond best prices contain more information than same-side depths at best prices for predicting future option trading activities, which is corroborated by my additional finding that institutional investors are more likely to place underlying stock limit orders less aggressively than individual investors. My findings indicate that standing underlying stock limit orders play an important role in price discovery between options and underlying stock markets. The second essay empirically examines whether specialists face adverse selection and evaluates the performance of the six measures of adverse selection or trade informativeness. I find that specialists face adverse selection. I find that the Glosten-Harris (1988) measure is the most reliable, that the Huang-Stoll (1997) measure is the least reliable, and that the ranking among the George-Kaul-Nimalendran (1991), Lin-Sanger-Booth (1995), PIN (1996), and Hasbrouck (1991b) measures is ambiguous.
Author: Stkewart James Mayhew
Publisher:
ISBN:
Category :
Languages : en
Pages : 180
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Author: Subrahmanya Pulle Srinivas
Publisher:
ISBN:
Category :
Languages : en
Pages : 336
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Book Description
Author: Iskra Kalodera
Publisher: Tectum - Der Wissenschaftsverlag
ISBN: 9783828889026
Category :
Languages : en
Pages : 116
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Book Description
This book focuses exclusively on stock options, analyzing their pricing, liquidity, and information transmission empirically. With the help of discrete choice modeling and regression analysis, it offers new insights into the behavior of stock option liquidity as well as the influence of overall market liquidity on option prices. Many observed phenomena find explanation through the market microstructure. The book also provides the most comprehensive analysis of equity options for the German market so far and serves as a guide to up-to-date empirical topics for both researchers and practitioners.
Author: Angelo Aspris
Publisher:
ISBN:
Category : Derivative securities
Languages : en
Pages : 444
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Author: Larry Harris
Publisher: OUP USA
ISBN: 9780195144703
Category : Business & Economics
Languages : en
Pages : 664
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Book Description
Focusing on market microstructure, Harris (chief economist, U.S. Securities and Exchange Commission) introduces the practices and regulations governing stock trading markets. Writing to be understandable to the lay reader, he examines the structure of trading, puts forward an economic theory of trading, discusses speculative trading strategies, explores liquidity and volatility, and considers the evaluation of trader performance. Annotation (c)2003 Book News, Inc., Portland, OR (booknews.com).
Author: Cuyler Lawrence Strong
Publisher:
ISBN:
Category : Options (Finance)
Languages : en
Pages : 141
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Book Description
These two essays demonstrate the important role that derivative markets play in assimilating information into financial markets. In the first essay I use the 2008 short-selling ban to examine the impact of single-stock futures (SSFs) trading on options market quality. I show that there is a substitution effect between options trading and SSFs trading during the ban period. In addition, my results show that SSFs trading had a significant effect in narrowing the bid-ask spreads of options contracts. Moreover, compared to stocks without SSFs, stocks with SSFs were less likely to violate put-call parity during the ban period. My results suggest that SSFs trading helps mitigate the negative effect of the short-selling ban on options market quality documented in the literature.In the second essay I look at information flows through large option trades. The motivation comes from CNBC's "Halftime Report" which regularly covers unusual option activity, i.e., those abnormally large trades, and recommend investors to follow the "smart money". I investigate the impact of the CNBC coverage on underlying stock prices and whether investors can indeed profit by following the "smart money". I document an immediate spike in trading volume and abnormal returns at the time of the CNBC coverage, and evidence that the unusual option trades are informative of stock prices around the coverage. However, I also document a significant reversal in underlying stock prices following the CNBC coverage. Using the same criteria advocated by the CNBC commentators, I identify unusual option activities for a large sample of stocks without CNBC coverage. I confirm that the unusual option trades significantly predict underlying stock returns, but find no evidence of reversal in underlying stock prices. My findings suggest that the CNBC coverage of unusual option activity has a destabilizing effect on underlying stock prices and investors cannot profit by simply following the CNBC reporting on the "smart money".
Author: 邱信瑜
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Stewart Mayhew
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This paper examines the differences in stock market volume, volatility and quotes during intervals in which options trade versus periods in which options do not trade. We find that options trade when the stock market is active and volatile. However, there is a negative relationship between short run volatility and option trading intensity. Also, bid-ask spreads are higher and the depth of the quotes is lower when options trade. This is partially because the probability of a transaction occurring within the spread and the autocorrelation between successive price changes is higher in option trading times, but this deterioration in quotes is not accompanied by an increase in adverse selection or inventory costs and needs further investigation.
