Ambiguity in Option Markets Evidence from SEOs

Cumming, Douglas J.; Johanning, Lutz; Ordu, Umut; Schweizer, Denis

doi:10.2139/ssrn.2617667

SSRN Journal

2015

DOI: 10.2139/ssrn.2617667

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Ambiguity in Option Markets Evidence from SEOs

Douglas J. Cumming

Lutz Johanning

Umut Ordu

et al.

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Cited by 2 publications

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“…There are other studies related to information flows in option markets in terms of the effect of option introduction on the market quality of the underlying asset(Conrad, 1989;De Jong et al 2006;and Kumar et al 1998) and ambiguity in option markets(Cumming et al, 2017), amongst others.…”

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Bid–ask spread and liquidity searching behaviour of informed investors in option markets

Bernales

Cañón

Verousis

2018

Finance Research Letters

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Bid–ask spread and liquidity searching behaviour of informed investors in option markets

Bernales

Cañón

Verousis

2018

Finance Research Letters

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Bid-Ask Spread and Liquidity Searching Behaviour of Informed Investors in Option Markets

2017

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We show evidence of a liquidity searching behaviour of informed investors in option listings, which was also found by Collin-Dufresne and Fos (2015) using stock markets. Nevertheless, and differently from Collin-Dufresne and Fos (2015), we find that the option bid-ask spread may be still a good proxy for informed trading, despite of the liquidity searching behaviour of informed agents. We show an upward trend in the option bid-ask spread after option introductions (as informed traders avoid trading in initial periods after listing dates due to the low liquidity environment), which is steeper for options with high chances of information asymmetries. AbstractWe show evidence of a liquidity searching behaviour of informed investors in option listings, which was also found by Collin-Dufresne and Fos (2015) using stock markets. Nevertheless, and differently from Collin-Dufresne and Fos (2015), we find that the option bid-ask spread may be still a good proxy for informed trading, despite of the liquidity searching behaviour of informed agents. We show an upward trend in the option bid-ask spread after option introductions (as informed traders avoid trading in initial periods after listing dates due to the low liquidity environment), which is steeper for options with high chances of information asymmetries.

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Ambiguity in Option Markets Evidence from SEOs

Cited by 2 publications

References 51 publications

Bid–ask spread and liquidity searching behaviour of informed investors in option markets

Bid–ask spread and liquidity searching behaviour of informed investors in option markets

Bid-Ask Spread and Liquidity Searching Behaviour of Informed Investors in Option Markets

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