Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?

被引：16
|
作者：
Ni, Sophie X. [1 ]
Pearson, Neil D. [2 ]
Poteshman, Allen M. [2 ]
White, Joshua [3 ]
机构：
[1] Hong Kong Baptist Univ, Hong Kong, Peoples R China
[2] Univ Illinois, Champaign, IL 61820 USA
[3] GMO LLC, Boston, MA USA
来源：
REVIEW OF FINANCIAL STUDIES | 2021年 / 34卷 / 04期
关键词：
INFORMATION; VOLATILITY; MARKETS;
D O I：
10.1093/rfs/hhaa082
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The question of whether and to what extent option trading affects underlying stock prices has been of interest to researchers since exchange-based options trading began in 1973. Recent research presents evidence of an informational channel through which option trading affects stock prices by showing that option market makers' stock trades to hedge new options positions cause the information reflected in option trading to be impounded into underlying equity prices. This paper provides evidence of a noninformational channel through which option market maker hedge rebalancing affects stock return volatility and the probability of large stock price moves.
引用
收藏
页码：1952 / 1986
页数：35
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