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Informed trading under different market conditions and moneyness: Evidence from TXO options
16 references·2 citing·45 second hop
Informed trading under different market conditions and moneyness: Evidence from TXO options (2008)Informed trading under different market c…Informed Trading in Stock and Option Markets (2004)Informed Trading in Stock and…Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Does Net Buying Pressure Affe…The Informational Role of Stock and Option Volume (2002)The Informational Role of Sto…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Option Volume and Stock Price…Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading (1996)Transparency and Liquidity: A…Stock market volatility and the business cycle (1996)Stock market volatility and t…Asymmetric Information and Options (1993)Asymmetric Information and Op…A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market (1992)A Further Analysis of the Lea…Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets (1990)Intraday Price Change and Tra…Time-Variation in Expected Returns (1988)Time-Variation in Expected Re…Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Stock Market Prices Do Not Fo…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …An Investigation of Transactions Data for NYSE Stocks (1985)An Investigation of Transacti…Option Prices as Predictors of Equilibrium Stock Prices (1982)Option Prices as Predictors o…Fact and Fantasy in the Use of Options (1975)Fact and Fantasy in the Use o…Informed trading, trading strategies and the information content of trading volume: Evidence from the Taiwan index options market (2014)Informed trading, trading str…Hedging costs, liquidity, and inventory management: The evidence from option market makers (2013)Hedging costs, liquidity, and…Expected stock returns and volatility (1987)The Relation Between Price Changes and Trading Volume: A Survey (1987)A Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Trading in Stock Index Futures (1991)Intraday Volatility in the Stock Index and Stock Index Futures Markets (1991)Trading costs and the relative rates of price discovery in stock, futures, and option markets (1996)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Information Effects on the Bid-Ask Spread (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Market liquidity and volume around earnings announcements (1994)Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Risk, Return, and Equilibrium: Empirical Tests (1973)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)O/S: The relative trading activity in options and stock (2009)Deviations from Put-Call Parity and Stock Return Predictability (2010)What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns? (2010)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)The Pricing of Options and Corporate Liabilities (1973)Inferring Trade Direction from Intraday Data (1991)The High‐Volume Return Premium (2001)Demand-Based Option Pricing (2005)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Firm Size and Cyclical Variations in Stock Returns (2000)Volatility Spillover Effects in European Equity Markets (2005)Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Expected Stock Returns and Variance Risk Premia (2009)The Limits of Arbitrage (1995)Liquidity and Asset Prices (2006)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Specification Tests in Econometrics (1978)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)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)The Information in Option Volume for Future Stock Prices (2006)Stock Market Structure and Volatility (1990)Predicting stock market volatility: A new measure (1995)Trade Size and Components of the Bid-Ask Spread (1995)
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References

  • 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • 1998Option Volume and Stock Prices: Evidence on Where Informed Traders Trade1,089 cited
  • 1975Fact and Fantasy in the Use of Options1,021 cited
  • 2004Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?991 cited
  • 1996Stock market volatility and the business cycle779 cited
  • 2004Informed Trading in Stock and Option Markets750 cited
  • 1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market635 cited
  • 1985An Investigation of Transactions Data for NYSE Stocks554 cited
  • 1996Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading545 cited
  • 1988Time-Variation in Expected Returns465 cited
  • 1990Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets444 cited
  • 1982Option Prices as Predictors of Equilibrium Stock Prices415 cited
  • 1993Asymmetric Information and Options

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360 cited
  • 2002The Informational Role of Stock and Option Volume316 cited
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    • 2014Informed trading, trading strategies and the information content of trading volume: Evidence from the Taiwan index options market27 cited
    • 2013Hedging costs, liquidity, and inventory management: The evidence from option market makers27 cited