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:	García Martín,C. José, Herrero Piqueras,Begoña, Ibáñez Escribano,Ana María
Lenguaje:	English
Publicado:	Universidad de Chile. Departamento de Economía 2016
Materias:	options market thin market informed trading price discovery process earnings announcement
Acceso en línea:	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862016000200004
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spelling	oai:scielo:S0718-528620160002000042016-12-28The informational role of thin options markets: Empirical evidence from the Spanish caseGarcía Martín,C. JoséHerrero Piqueras,BegoñaIbáñez Escribano,Ana María options market thin market informed trading price discovery process earnings announcement 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.info:eu-repo/semantics/openAccessUniversidad de Chile. Departamento de EconomíaEstudios de economía v.43 n.2 20162016-11-01text/htmlhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862016000200004en10.4067/S0718-52862016000200004
institution	Scielo Chile
collection	Scielo Chile
language	English
topic	options market thin market informed trading price discovery process earnings announcement
spellingShingle	options market thin market informed trading price discovery process earnings announcement García Martín,C. José Herrero Piqueras,Begoña Ibáñez Escribano,Ana María The informational role of thin options markets: Empirical evidence from the Spanish case
description	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.
author	García Martín,C. José Herrero Piqueras,Begoña Ibáñez Escribano,Ana María
author_facet	García Martín,C. José Herrero Piqueras,Begoña Ibáñez Escribano,Ana María
author_sort	García Martín,C. José
title	The informational role of thin options markets: Empirical evidence from the Spanish case
title_short	The informational role of thin options markets: Empirical evidence from the Spanish case
title_full	The informational role of thin options markets: Empirical evidence from the Spanish case
title_fullStr	The informational role of thin options markets: Empirical evidence from the Spanish case
title_full_unstemmed	The informational role of thin options markets: Empirical evidence from the Spanish case
title_sort	informational role of thin options markets: empirical evidence from the spanish case
publisher	Universidad de Chile. Departamento de Economía
publishDate	2016
url	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862016000200004
work_keys_str_mv	AT garciamartincjose theinformationalroleofthinoptionsmarketsempiricalevidencefromthespanishcase AT herreropiquerasbegona theinformationalroleofthinoptionsmarketsempiricalevidencefromthespanishcase AT ibanezescribanoanamaria theinformationalroleofthinoptionsmarketsempiricalevidencefromthespanishcase AT garciamartincjose informationalroleofthinoptionsmarketsempiricalevidencefromthespanishcase AT herreropiquerasbegona informationalroleofthinoptionsmarketsempiricalevidencefromthespanishcase AT ibanezescribanoanamaria informationalroleofthinoptionsmarketsempiricalevidencefromthespanishcase
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The informational role of thin options markets: Empirical evidence from the Spanish case

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