Intraday option price changes and net buying pressure

被引：5
|
作者：
Ryu, Doojin [1 ]
Yang, Heejin [2 ]
机构：
[1] Sungkyunkwan Univ, Coll Econ, Seoul, South Korea
[2] Dongguk Univ Gyeongju Campus, Dept Global Econ & Commerce, Gyeongsangbuk Do, South Korea
来源：
APPLIED ECONOMICS LETTERS | 2022年 / 29卷 / 04期
基金：
新加坡国家研究基金会;
关键词：
Direction-learning; option-implied volatility; net buying pressure; ultra-high-frequency data;
D O I：
10.1080/13504851.2020.1864272
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We re-examine the effect of net buying pressure on options-implied volatility changes by analysing ultra-high-frequency microstructure data. Intraday relationships between option price dynamics and investors' net demand are explained by the direction-learning hypothesis.
引用
收藏
页码：292 / 297
页数：6
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