The informational role of thin options markets: Empirical evidence from the Spanish case
This study investigates the informational role of thin options markets, specifically the Spanish options market. Firstly, we examine the effect of options markets by analysing stock market reaction to earnings news, conditional on the availability of options markets. Secondly, we examine options tra...
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| Autores principales: | , , |
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| Lenguaje: | English |
| Publicado: |
Universidad de Chile. Departamento de Economía
2016
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| Acceso en línea: | http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862016000200004 |
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| Sumario: | This study investigates the informational role of thin options markets, specifically the Spanish options market. Firstly, we examine the effect of options markets by analysing stock market reaction to earnings news, conditional on the availability of options markets. Secondly, we examine options trading activity before the release of earnings news (including the announcement period). The results show that the impact onprices before the earnings release is significantly bigger when options trading is available. Moreover, the dissemination of earnings news is associated with significant unusual activity in the options market due to informed trading, especially when the earnings surprise is highly good. |
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