Index options open interest and stock market returns

被引：0

作者：

Seo, Sung Won ^{[1
]}

Byun, Suk Joon ^{[2
]}

Kim, Jun Sik ^{[3
]}

机构：

[1] Konkuk Univ, Dept Business Adm, Seoul, South Korea

[2] Korea Adv Inst Sci & Technol, Coll Business, Seoul, South Korea

[3] Incheon Natl Univ, Div Int Trade, 119 Acad Ro, Incheon 22012, South Korea

来源：

JOURNAL OF FUTURES MARKETS | 2020年 / 40卷 / 06期

关键词：

open interest; options market; stock market returns; HEDGING EFFECTIVENESS; DIVIDEND YIELDS; ASSET RETURNS; TELL US; EARNINGS; VOLUME; FUTURES; PRICES; RATIO;

D O I：

10.1002/fut.22095

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study finds that the growth of index options open interest has a significant relation with future stock market returns. We propose a theoretical model that considers hedgers and informed traders in the options market and suggests that hedgers fully utilize options according to their expectations of future stock returns. The empirical results show that the growth of out-of-the-money call options open interest is significantly related with future stock market returns. These findings provide supporting evidence for our theoretical model.

引用

页码：989 / 1010

页数：22

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