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Information and the arrival rate of option trading volume

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

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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

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