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Informed trading, trading strategies and the information content of trading volume: Evidence from the Taiwan index options market
16 references·1 citing·36 second hop
Informed trading, trading strategies and the information content of trading volume: Evidence from the Taiwan index options market (2014)Informed trading, trading strategies and …Price Efficiency and Short Selling (2010)Price Efficiency and Short Se…Just How Much Do Individual Investors Lose by Trading? (2008)Just How Much Do Individual I…The Information in Option Volume for Future Stock Prices (2006)The Information in Option Vol…Informed Trading in Stock and Option Markets (2004)Informed Trading in Stock and…Stealth-trading: Which traders' trades move stock prices? (2001)Stealth-trading: Which trader…Trading Volume and Cross‐Autocorrelations in Stock Returns (2000)Trading Volume and Cross‐Auto…The investment behavior and performance of various investor types: a study of Finland's unique data set (2000)The investment behavior and p…Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Option Volume and Stock Price…Market liquidity and volume around earnings announcements (1994)Market liquidity and volume a…Is the Electronic Open Limit Order Book Inevitable? (1994)Is the Electronic Open Limit …Stealth trading and volatility (1993)Stealth trading and volatilityInferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Fact and Fantasy in the Use of Options (1975)Fact and Fantasy in the Use o…Volatility information trading in the index options market: An intraday analysis (2019)Volatility information tradin…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Measuring the Information Content of Stock Trades (1991)Disclosure, Liquidity, and the Cost of Capital (1991)Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Disclosure Policy, Information Asymmetry, and Liquidity in Equity Markets* (1995)Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)A Theory of Auctions and Competitive Bidding (1982)Order flow composition and trading costs in a dynamic limit order market (1999)Presidential Address: Friction (2000)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)The Pricing of Options and Corporate Liabilities (1973)The High‐Volume Return Premium (2001)Demand-Based Option Pricing (2005)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)ARCH modeling in finance (1992)A model of investor sentiment /Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)How Distance, Language, and Culture Influence Stockholdings and Trades (2001)What Makes Investors Trade? (2001)Individual Investor Trading and Stock Returns (2008)Common risk factors in the returns on stocks and bonds (1993)Legal Determinants of External Finance (1997)On Persistence in Mutual Fund Performance (1997)Do Retail Trades Move Markets? (2008)The Behavior of Individual Investors (2013)Attention‐Induced Trading and Returns: Evidence from Robinhood Users (2022)Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978 (1985)Noise Trader Risk in Financial Markets (1990)Illiquidity and stock returns: cross-section and time-series effects (2002)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)
this work references cited by second hop

References

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  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1994Market liquidity and volume around earnings announcements1,786 cited
  • 2000The investment behavior and performance of various investor types: a study of Finland's unique data set1,639 cited
  • 1998Option Volume and Stock Prices: Evidence on Where Informed Traders Trade1,089 cited
  • 1975Fact and Fantasy in the Use of Options1,021 cited
  • 1994Is the Electronic Open Limit Order Book Inevitable?996 cited
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  • 2006The Information in Option Volume for Future Stock Prices847 cited
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  • 2000Trading Volume and Cross‐Autocorrelations in Stock Returns721 cited
  • 2001Stealth-trading: Which traders' trades move stock prices?682 cited
  • 2010

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Price Efficiency and Short Selling
669 cited

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  • 2019Volatility information trading in the index options market: An intraday analysis27 cited