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Volatility information trading in the index options market: An intraday analysis
16 references·0 citing·48 second hopsampled
Volatility information trading in the index options market: An intraday analysis (2019)Volatility information trading in the ind…Individual Investor Trading and Return Patterns around Earnings Announcements (2012)Individual Investor Trading a…The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes? (2009)The Idiosyncratic Volatility …Individual Investor Trading and Stock Returns (2008)Individual Investor Trading a…Do local analysts know more? A cross-country study of the performance of local analysts and foreign analysts (2007)Do local analysts know more? …The Information in Option Volume for Future Stock Prices (2006)The Information in Option Vol…The Model-Free Implied Volatility and Its Information Content (2005)The Model-Free Implied Volati…Relationships Between Implied Volatility Indexes and Stock Index Returns (2005)Relationships Between Implied…Informational content of option volume prior to takeovers (2005)Informational content of opti…Do Domestic Investors Have an Information Advantage? Evidence from Indonesia (2005)Do Domestic Investors Have an…Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Does Net Buying Pressure Affe…The Dynamics of Institutional and Individual Trading (2003)The Dynamics of Institutional…Uncovering the Risk-Return Relation in the Stock Market (2001)Uncovering the Risk-Return Re…The portfolio flows of international investors (2001)The portfolio flows of intern…Location Matters: An Examination of Trading Profits (2001)Location Matters: An Examinat…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…The Pricing of Options and Corporate Liabilities (1973)Specification Tests in Econometrics (1978)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)What's Vol Got to Do with It (2010)Tails, Fears, and Risk Premia (2011)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)The Geography of Investment: Informed Trading and Asset Prices (2001)Do Domestic Investors Have an Edge? The Trading Experience of Foreign Investors in Korea (2005)Individual Investors and Local Bias (2010)Econometric Analysis of Panel Data (2021)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Do industries lead stock markets? (2006)What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns? (2010)Tail Risk and Asset Prices (2014)Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan (1997)Trying to Explain Home Bias in Equities and Consumption (1999)Asset Fire Sales and Purchases and the International Transmission of Funding Shocks (2012)Home Bias in Open Economy Financial Macroeconomics (2013)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Inferring Trade Direction from Intraday Data (1991)The High‐Volume Return Premium (2001)Demand-Based Option Pricing (2005)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Limits of Arbitrage (1995)Liquidity and Asset Prices (2006)Law and Finance (1998)Corporate Ownership Around the World (1999)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)Information Immobility and the Home Bias Puzzle (2009)Corporate governance, accounting and finance: A review (2010)Seeing is believing: analysts’ corporate site visits (2016)Continuous Auctions and Insider Trading (1985)Noise Trader Risk in Financial Markets (1990)Which Shorts Are Informed? (2007)Do Retail Trades Move Markets? (2008)Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2015)The impact of institutional trading on stock prices (1992)Mutual Fund Herding and the Impact on Stock Prices (1999)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Style investing (2003)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)
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References

  • 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
  • 2008Individual Investor Trading and Stock Returns1,014 cited
  • 2005The Model-Free Implied Volatility and Its Information Content1,012 cited
  • 2004Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?991 cited
  • 2001The portfolio flows of international investors956 cited
  • 2006The Information in Option Volume for Future Stock Prices847 cited
  • 2001Location Matters: An Examination of Trading Profits624 cited
  • 2005Do Domestic Investors Have an Information Advantage? Evidence from Indonesia603 cited
  • 2007Do local analysts know more? A cross-country study of the performance of local analysts and foreign analysts600 cited
  • 2009The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes?518 cited
  • 2003The Dynamics of Institutional and Individual Trading506 cited
  • 2001Uncovering the Risk-Return Relation in the Stock Market500 cited
  • 2005Relationships Between Implied Volatility Indexes and Stock Index Returns432 cited
  • 2005Informational content of option volume prior to takeovers

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405 cited
  • 2012Individual Investor Trading and Return Patterns around Earnings Announcements383 cited
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