Relative option liquidity and price efficiency View Full Text


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Article Info

DATE

2018-05-23

AUTHORS

Brian Du

ABSTRACT

Options trading can stimulate price efficiency in underlying stock markets by providing a platform for informed trades, increasing the production of information, and mitigating momentum arbitrage strategies and short-sale constraints. Using a large sample of 8146 firms with option trading from 1996 through 2014, this study examines the extent to which liquidity in option markets relates to the ability for stock prices to reflect all publicly available information. Variance ratio tests document that price efficiency monotonically increases across relative option liquidity deciles, proxied by the option-to-stock volume ratio, progressively becoming closer to random walk benchmarks. Evidence suggests that enhanced price efficiency is pronounced among small company stocks. More... »

PAGES

1-17

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s11156-018-0738-1

DOI

http://dx.doi.org/10.1007/s11156-018-0738-1

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1104151064


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61 schema:description Options trading can stimulate price efficiency in underlying stock markets by providing a platform for informed trades, increasing the production of information, and mitigating momentum arbitrage strategies and short-sale constraints. Using a large sample of 8146 firms with option trading from 1996 through 2014, this study examines the extent to which liquidity in option markets relates to the ability for stock prices to reflect all publicly available information. Variance ratio tests document that price efficiency monotonically increases across relative option liquidity deciles, proxied by the option-to-stock volume ratio, progressively becoming closer to random walk benchmarks. Evidence suggests that enhanced price efficiency is pronounced among small company stocks.
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