The informational role of thin options markets: Empirical evidence from the Spanish case
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| Natura: | Artículo científico |
| Lingua: | en |
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Universidad de Chile
2016
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| _version_ | 1876464847051292672 |
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| author | C. José García Martín |
| author_facet | C. José García Martín |
| contents | The informational role of thin options markets: Empirical evidence from the Spanish case C. José García Martín Begoña Herrero Piqueras Ana María Ibáñez Escribano Economía y Finanzas thin market Options market informed trading earnings announcement price discovery process This study investigates the informational role of thin options markets, specifically the Spanish options market. Firstly, we examine the effect of options markets by analysing stock market reaction to earnings news, conditional on the availability of options markets. Secondly, we examine options trading activity before the release of earnings news (including the announcement period). The results show that the impact on prices before the earnings release is significantly bigger when options trading is available. Moreover, the dissemination of earnings news is associated with significant unusual activity in the options market due to informed trading, especially when the earnings surprise is highly good. 2016 artículo científico 0304-2758 https://www.redalyc.org/articulo.oa?id=22149200004 en http://www.redalyc.org/revista.oa?id=221 Estudios de Economía application/pdf Universidad de Chile Estudios de Economía (Chile) Num.2 Vol.43 |
| format | Artículo científico |
| id | redalyc_22149200004 |
| institution | Redalyc |
| language | en |
| publishDate | 2016 |
| publisher | Universidad de Chile |
| spellingShingle | The informational role of thin options markets: Empirical evidence from the Spanish case C. José García Martín Economía y Finanzas thin market Options market informed trading earnings announcement price discovery process The informational role of thin options markets: Empirical evidence from the Spanish case C. José García Martín Begoña Herrero Piqueras Ana María Ibáñez Escribano Economía y Finanzas thin market Options market informed trading earnings announcement price discovery process This study investigates the informational role of thin options markets, specifically the Spanish options market. Firstly, we examine the effect of options markets by analysing stock market reaction to earnings news, conditional on the availability of options markets. Secondly, we examine options trading activity before the release of earnings news (including the announcement period). The results show that the impact on prices before the earnings release is significantly bigger when options trading is available. Moreover, the dissemination of earnings news is associated with significant unusual activity in the options market due to informed trading, especially when the earnings surprise is highly good. 2016 artículo científico 0304-2758 https://www.redalyc.org/articulo.oa?id=22149200004 en http://www.redalyc.org/revista.oa?id=221 Estudios de Economía application/pdf Universidad de Chile Estudios de Economía (Chile) Num.2 Vol.43 |
| title | The informational role of thin options markets: Empirical evidence from the Spanish case |
| topic | Economía y Finanzas thin market Options market informed trading earnings announcement price discovery process |
| url | https://www.redalyc.org/articulo.oa?id=22149200004 |