Zhang, Mengyu and Verousis, Thanos and Kalaitzoglou, Iordanis (2022) 'Information and the arrival rate of option trading volume.' Journal of Futures Markets, 42 (4). pp. 605-644. ISSN 0270-7314
![]() |
Text
Information and the arrival rate of option trading_final.pdf - Accepted Version Restricted to Repository staff only until 27 December 2023. Download (1MB) | Request a copy |
Abstract
In this paper we investigate the interaction between liquidity and information in the options market and its impact on the pricing of the underlying asset. We model option trade duration and volume jointly, for the first time, as a natural measure of options’ trading intensity and we associate it with differential degrees of information present in option trades. We report a highly significant association between option trading intensity with contemporaneous and future underlying volatility and returns, which is robust to the presence of other information measures, market factors and structural forms.
Item Type: | Article |
---|---|
Uncontrolled Keywords: | Options; stocks; trading volume; liquidity; information; conditional duration |
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: | 07 Dec 2021 15:23 |
Last Modified: | 28 Mar 2022 12:18 |
URI: | http://repository.essex.ac.uk/id/eprint/31832 |
Actions (login required)
![]() |
View Item |