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What do we know about individual equity options?

Bernales, Alejandro and Verousis, Thanos and Voukelatos, Nikolaos and Zhang, Mengyu (2020) 'What do we know about individual equity options?' Journal of Futures Markets, 40 (1). pp. 67-91. ISSN 0270-7314

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Abstract

This paper examines the empirical literature on individual equity options, discussing results in areas of consensus, showing findings in areas of disagreement and providing a guide for future research (especially highlighting analyses that cannot be performed with index options). Key topics include the impact of equity option listings on the underlying stock market, option market efficiency, anomalies in equity option returns, option market microstructure, investors' behavioural biases, option price discovery and private information revealed in equity option markets. Some directions for future research include the determinants of equity option returns and the effect of algorithmic trading in option markets.

Item Type: Article
Uncontrolled Keywords: equity options, empirical studies, literature survey
Divisions: Faculty of Social Sciences
Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
SWORD Depositor: Elements
Depositing User: Elements
Date Deposited: 01 Oct 2019 17:41
Last Modified: 06 Jan 2022 14:05
URI: http://repository.essex.ac.uk/id/eprint/25433

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