Informed trading in stock and option markets

被引：369

作者：

Chakravarty, S ^{[1
]}

Gulen, H

Mayhew, S

机构：

[1] Purdue Univ, W Lafayette, IN 47907 USA

[2] Virginia Tech, RB Pamplin Coll Business, Blacksburg, VA USA

[3] Univ Georgia, Terry Sch Business, Athens, GA 30602 USA

来源：

JOURNAL OF FINANCE | 2004年 / 59卷 / 03期

关键词：

D O I：

10.1111/j.1540-6261.2004.00661.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate the contribution of option markets to price discovery, using a modification of Hasbrouck's (1995) "information share" approach. Based on five years of stock and options data for 60 firms, we estimate the option market's contribution to price discovery to be about 17% on average. Option market price discovery is related to trading volume and spreads in both markets, and stock volatility. Price discovery across option strike prices is related to leverage, trading volume, and spreads. Our results are consistent with theoretical arguments that informed investors trade in both stock and option markets, suggesting an important informational role for options.

引用

页码：1235 / 1257

页数：23

共 48 条

[31] Stalking the "efficient price" in market microstructure specifications: an overview [J].