Option Volume and Stock Price by Easley, O’Hara, Srinivas

Name: Option Volume and Stock Price by Easley, O’Hara, Srinivas
SKU: 1326c0e70b4a
Price: 25.00 USD
Availability: InStock
Rating: 5.00 (1 reviews)

Rated 5.00 out of 5 based on 1 customer rating

$25.00

SKU: 1326c0e70b4a Category: Stock - Bond trading Tags: Easley, O’Hara, Option Volume & Stock Price, Option Volume & Stock Price by Easley, Srinivas

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Option Volume & Stock Price by Easley, O’Hara, Srinivas

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Abstract

This paper investigates the informational role of transactions volume in options markets. We develop an asymmetric information model in which informed traders may trade in option or equity markets. We show conditions under which informed traders trade options, and we investigate the implications of this for the linkage between markets. Our model predicts an important informational role for the volume of particular types of option trades. We empirically test our model’s hypotheses with intraday option data. Our main empirical result is that negative and positive option volumes contain information about future stock prices.

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1 review for Option Volume and Stock Price by Easley, O’Hara, Srinivas

Rated 5 out of 5

Trevis Trevis – March 7, 2020

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