Role of OTC options in stock price efficiency: Evidence from the Chinese market

被引：0
|
作者：
Zhou, Yaping [1 ]
Diao, Xundi [1 ,3 ]
Lv, Dayong [2 ]
机构：
[1] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Shanghai, Peoples R China
[2] Shanghai Lixin Univ Accounting & Finance, Sch Financial Technol, Shanghai, Peoples R China
[3] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, 1954 Huashan Rd, Shanghai 200030, Peoples R China
来源：
ACCOUNTING AND FINANCE | 2023年 / 63卷 / 04期
基金：
中国国家自然科学基金;
关键词：
efficiency; margin trading; OTC options; short-sale constraints; CROSS-SECTION; MARGIN REQUIREMENTS; INFORMATION-CONTENT; SHORT SALES; LIQUIDITY; RISK; CONSTRAINTS; ADJUSTMENT; RETURNS; QUALITY;
D O I：
10.1111/acfi.13110
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We examine the effect of Chinese OTC equity options on the underlying stock information efficiency by using the standardisation of the OTC options market as an exogenous event. The results show that, due to the tight short-sale constraints, the introduction of OTC stock options can widen the divergence of opinion about the stock price, and thus reduce the price efficiency. The significantly lower margin-debt ratio exhibited by optioned stocks supports the argument that OTC stock options act as a substitute for margin trading. Further analysis reveals that optioned stocks are more speculative, but there is no significant change in liquidity.
引用
收藏
页码：4629 / 4655
页数：27
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