Information contents of intraday SSE 50 ETF options trades

被引：5
|
作者：
Luo, Xingguo [1 ,2 ]
Cai, Wenye [3 ]
Ryu, Doojin [4 ]
机构：
[1] Zhejiang Univ, Sch Econ, Hangzhou, Peoples R China
[2] Zhejiang Univ, Acad Financial Res, Hangzhou, Peoples R China
[3] Fudan Univ, Fanhai Int Sch Finance, Shanghai, Peoples R China
[4] Sungkyunkwan Univ, Coll Econ, 25-2 Sungkyunkwan Ro, Seoul 03063, South Korea
来源：
JOURNAL OF FUTURES MARKETS | 2022年 / 42卷 / 04期
基金：
中国国家自然科学基金;
关键词：
informed trades; intraday seasonality; market shocks; price impact; SSE 50 ETF options; transaction-level data; VOLATILITY INFORMATION; MARKET; STOCK; FUTURES; VOLUME; ANNOUNCEMENTS; DYNAMICS; IMPACTS; PRICES; SIZE;
D O I：
10.1002/fut.22298
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We examine the intraday price discovery role of the Shanghai Stock Exchange 50 exchange-traded fund options using transaction-level data. Contemporaneous options trading volumes have significant and permanent price impacts on futures returns, implying that some options traders are informed. The permanent price impacts of large options trades are much greater than those of small trades. We also find that liquidity changes due to regulatory policies affect the options market's informational role. Transactions generally convey less information during special trading sessions, including post-break and closing sessions, perhaps because informed investors prefer to hide behind high liquidity.
引用
收藏
页码：580 / 604
页数：25
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