Option listing and information asymmetry
Between 2001 and 2010, US stocks selected for option listing are estimated to experience increases of 16.8% in informed trading and 27.8% in uninformed trading, no significant change in the probability of information events, and a decrease of 11.5% in the probability of informed trading compared to...
محفوظ في:
| المؤلف الرئيسي: | |
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| التنسيق: | text |
| اللغة: | English |
| منشور في: |
Institutional Knowledge at Singapore Management University
2014
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| الموضوعات: | |
| الوصول للمادة أونلاين: | https://ink.library.smu.edu.sg/lkcsb_research/4542 |
| الوسوم: |
إضافة وسم
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| المؤسسة: | Singapore Management University |
| اللغة: | English |
| الملخص: | Between 2001 and 2010, US stocks selected for option listing are estimated to experience increases of 16.8% in informed trading and 27.8% in uninformed trading, no significant change in the probability of information events, and a decrease of 11.5% in the probability of informed trading compared to unselected stocks with similar propensities of listing. Dynamic analysis shows the effects mainly come from the first month after listing. A placebo test shows that options on Exchange-Traded-Funds increase only uninformed trading. Options also facilitate incorporation of private information. The results suggest that options improve the overall market information environment. |
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