Bid-Ask Spread and Liquidity Searching Behaviour of Informed Investors in Option Markets

We show evidence of a liquidity searching behaviour of informed investors in option listings, which was also found by Collin-Dufresne and Fos (2015) using stock markets. Nevertheless, and differently from Collin-Dufresne and Fos (2015), we find that the option bid-ask spread may be still a good proxy for informed trading, despite of the liquidity searching behaviour of informed agents. We show an upward trend in the option bid-ask spread after option introductions (as informed traders avoid trading in initial periods after listing dates due to the low liquidity environment), which is steeper for options with high chances of information asymmetries

MoreLess

Year of publication:	2019
Authors:	Bernales, Alejandro
Other Persons:	Cañón, Carlos Iván (contributor) ; Verousis, Thanos (contributor)
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Geld-Brief-Spanne \| Bid-ask spread \| Theorie \| Theory \| Asymmetrische Information \| Asymmetric information \| Optionsgeschäft \| Option trading \| Liquidität \| Liquidity \| Anlageverhalten \| Behavioural finance \| Informationsökonomik \| Economics of information

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10012892614