Disagreement in Market Index Options

Disagreement in Market Index Options

We generate new evidence on disagreement among traders in the S&P 500 options market from high-frequency intraday price and volume data. Inference on disagreement is based on a model where investors observe public information but agree to disagree on its interpretation; disagreement among invest...

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Bibliographic Details
Main Authors: SALOME, Guilherme, TAUCHEN, George, LI, Jia
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2023
Subjects:
SPX options
market index
high-frequency data
disagreement
volume-volatility elasticity
public information
Econometrics
Finance
Finance and Financial Management
Online Access:https://ink.library.smu.edu.sg/soe_research/2701
https://ink.library.smu.edu.sg/context/soe_research/article/3700/viewcontent/DisagreementMarketIndexOptions_av.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2701
https://ink.library.smu.edu.sg/context/soe_research/article/3700/viewcontent/DisagreementMarketIndexOptions_av.pdf

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