Bernales, Alejandro 2017. The success of option listings. Journal of Empirical Finance, Vol. 40, p. 139.
Gradojevic, Nikola Erdemlioglu, Deniz and Gençay, Ramazan 2017. Informativeness of trade size in foreign exchange markets. Economics Letters, Vol. 150, p. 27.
Li, Wei-Xuan French, Joseph J. and Chen, Clara Chia-Sheng 2017. Informed Trading in S&P Index Options? Evidence from the 2008 Financial Crisis. Journal of Empirical Finance,
Kang, Hankil Kang, Jangkoo and Lee, Soonhee 2017. Which Traders Contribute Most to Price Discovery? Evidence from the KOSPI 200 Options Market. Emerging Markets Finance and Trade, Vol. 52, Issue. 10, p. 2335.
Le, Van 2017. The effect of short-sale restrictions: another perspective. International Journal of Managerial Finance, Vol. 12, Issue. 5, p. 700.
Le, Van and Zurbruegg, Ralf 2017. The impact of short sale restrictions on informed trading in the stock and options markets. International Review of Economics & Finance, Vol. 41, p. 262.
MURAVYEV, DMITRIY 2017. Order Flow and Expected Option Returns. The Journal of Finance, Vol. 71, Issue. 2, p. 673.
Han, Chulwoo Hwang, Soosung and Ryu, Doojin 2017. Market overreaction and investment strategies. Applied Economics, p. 1.
Piccotti, Louis R. and Schreiber, Ben Z. 2017. Information shares of two parallel currency options markets: Trading costs versus transparency/tradability. Journal of Empirical Finance, Vol. 32, p. 210.
Ryu, Doojin 2017. The Information Content of Trades: An Analysis of KOSPI 200 Index Derivatives. Journal of Futures Markets, Vol. 35, Issue. 3, p. 201.
Ryu, Doojin 2017. Information content of inter-transaction time: A structural approach. Journal of Business Economics and Management, Vol. 16, Issue. 4, p. 697.
Blau, Benjamin M. and Smith, Jason M. 2017. Autocorrelation in daily short-sale volume. The Quarterly Review of Economics and Finance, Vol. 54, Issue. 1, p. 31.
Boyd, Naomi and Locke, Peter 2017. Price Discovery in Futures and Options Markets. Journal of Futures Markets, Vol. 34, Issue. 9, p. 853.
CREADY, WILLIAM KUMAS, ABDULLAH and SUBASI, MUSA 2017. Are Trade Size-Based Inferences About Traders Reliable? Evidence from Institutional Earnings-Related Trading. Journal of Accounting Research, Vol. 52, Issue. 4, p. 877.
Hayunga, Darren K. and Lung, Peter P. 2017. Trading in the Options Market around Financial Analysts’ Consensus Revisions. Journal of Financial and Quantitative Analysis, Vol. 49, Issue. 03, p. 725.
Hsieh, Wen-liang G. and He, Huei-Ru 2017. Informed trading, trading strategies and the information content of trading volume: Evidence from the Taiwan index options market. Journal of International Financial Markets, Institutions and Money, Vol. 31, p. 187.
Kang, Bo Soo Ryu, Doojin and Ryu, Doowon 2017. Phase-shifting behaviour revisited: An alternative measure. Physica A: Statistical Mechanics and its Applications, Vol. 401, p. 167.
Mishra, Suchismita and Daigler, Robert T 2017. Intraday Trading and Bid–Ask Spread Characteristics for SPX and SPY Options. The Journal of Derivatives, Vol. 21, Issue. 3, p. 70.
Wang, Yun-Yi 2017. Order Splitting Behavior by Different Types of Traders in the Taiwan Index Futures Markets Under Diverse Market Conditions. Journal of Futures Markets, Vol. 34, Issue. 9, p. 883.
Chang, Chuang-Chang Hsieh, Pei-Fang and Lai, Hung-Neng 2017. The price impact of options and futures volume in after-hours stock market trading. Pacific-Basin Finance Journal, Vol. 21, Issue. 1, p. 984.
We 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.
This list contains references from the content that can be linked to their source. For a full set of references and notes please see the PDF or HTML where available.
Email your librarian or administrator to recommend adding this journal to your organisation's collection.
Full text views reflects the number of PDF downloads, PDFs sent to Google Drive, Dropbox and Kindle and HTML full text views.
* Views captured on Cambridge Core between September 2016 - 24th September 2017. This data will be updated every 24 hours.