COVID caused a negative bubble. Who profited? Who lost? How stock markets changed?

Ülkü, Numan; Ali, Fahad; Saydumarov, Saidgozi; İkizlerli, Deniz

doi:10.1016/j.pacfin.2023.102044

Cited by 10 publications

(3 citation statements)

References 36 publications

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“…However, in this study, we focus on the generalized patterns using market-wide data, which may limit our interpretation of the empirical results. While retail investors may exhibit a higher degree of behavioral biases (Choy 2015;Baig et al 2022;Ülkü et al 2023), we do not attempt to differentiate between the sources of trading (retail versus institutional) in this study. We leave to future research the enhancement of our understanding of retail investors' role in option trading.…”

Section: Discussionmentioning

confidence: 99%

The Effects of Option Trading Behavior on Option Prices

Chen

Sabherwal

2023

JRFM

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This paper investigates the relationship between option trading behavior and option pricing patterns. We argue that greater active trading in the options market due to investor overconfidence leads to higher volatility and larger discrepancies in option pricing, which may be captured by implied volatility spread and implied volatility skewness. Using two different measures of excess option trading, we find that trading activities are correlated in different ways with volatility, volatility spread, and volatility skewness. We also find that these relationships exist both over time and cross-sectionally. We suggest that options investors tend to chase “hot” stocks, as we find evidence of a positive relationship between option trading activities and past underlying equity returns. Heavier trading in the options market also tends to make out-of-the-money call options more (less) expensive than the at-the-money counterparts over time (cross-sectionally). Because trading activities do not predict future equity returns, investor overconfidence, and not informed trading, seems to be a more plausible explanation for our findings.

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Section: Discussionmentioning

confidence: 99%

The Effects of Option Trading Behavior on Option Prices

Chen

Sabherwal

2023

JRFM

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“…Secondly, due mostly to herding behavior (Dalgıç et al 2021) motivated by informed trading, the net purchases of various investor groups can also have an impact on each other (Ülkü and Weber 2013;Ülkü et al 2023). Consequently, our next null hypothesis is the following.…”

Section: Hypothesis 1amentioning

confidence: 96%

“…Coupled with the effects of the pandemic, similar to other countries (Nguyen et al 2023;Ülkü et al 2023), the stock market in Turkey has faced a rise in the activity and influence of individual investors, which has consequences in stock prices and investment patterns. Moreover, the challenges faced in the early days of the pandemic, such as a reduction in overseas investment activities, and a drop (a boom) in face-to-face (distant) communication might have impacts on the investment styles, risk attitudes and trading behavior of different investor types.…”

Section: Introductionmentioning

confidence: 99%

Impact of the COVID-19 Market Turmoil on Investor Behavior: A Panel VAR Study of Bank Stocks in Borsa Istanbul

Ekinci,

Ersan

2024

IJFS

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Assuming that investors can be foreign or local, do high-frequency trading (HFT) or not, and submit orders through a bank-owned or non-bank-owned broker, we associated trades to various investors. Then, building a panel vector autoregressive model, we analyzed the dynamic relation of these investors with returns and among each other before and during the COVID-19 market crash. Results show that investor groups have influence on each other. Their net purchases also interact with returns. Moreover, during the turmoil caused by the pandemic, except foreign investors not involved in HFT, the response of any investor group (retail/institutional, domestic investors doing HFT and those not doing HFT, and foreign investors doing HFT) significantly altered. This shows that the interrelation among investor groups is dynamic and sensitive to market conditions.

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Investor types' trading behavior in stock markets

Ülkü

2023

Reference Module in Social Sciences

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COVID caused a negative bubble. Who profited? Who lost? How stock markets changed?

Cited by 10 publications

References 36 publications

The Effects of Option Trading Behavior on Option Prices

The Effects of Option Trading Behavior on Option Prices

Impact of the COVID-19 Market Turmoil on Investor Behavior: A Panel VAR Study of Bank Stocks in Borsa Istanbul

Investor types' trading behavior in stock markets

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