The price impact of options and futures volume in after-hours stock market trading

被引：15

作者：

Chang, Chuang-Chang ^{[1
]}

Hsieh, Pei-Fang ^{[2
]}

Lai, Hung-Neng ^{[1
]}

机构：

[1] Natl Cent Univ, Dept Finance, Jhongli 32001, Taoyuan County, Taiwan

[2] Natl Tsing Hua Univ, Dept Quantitat Finance, Hsinchu City 30013, Taiwan

来源：

PACIFIC-BASIN FINANCE JOURNAL | 2013年 / 21卷 / 01期

关键词：

Price impact; Informed traders; Options volume; Futures volume; After-hours trading; BID-ASK SPREADS; NYSE STOCKS; INFORMATION; TRADES; SIZE; VOLATILITY; DISCOVERY; INVESTORS; BEHAVIOR;

D O I：

10.1016/j.pacfin.2012.07.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We set out in this study to investigate the price impacts of options and futures trading prior to the stock market opening. Our findings indicate clustering by a high proportion of informed traders during the 'pre-open' period, with their options and futures trading volume being found to have significant influences on price changes. The evidence from our focus on this specific trading period suggests that in both the options and futures markets, institutional investors are more sophisticated than other traders. The trading behavior of these informed traders adds support to the 'stealth-trading' hypothesis, particularly in the futures market. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：984 / 1007

页数：24

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