Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?

• 成果类型: Article
• 署名作者: Ni, Sophie X.; Pearson, Neil D.; Poteshman, Allen M.; White, Joshua
• 署名单位: Hong Kong Baptist University; University of Illinois System; University of Illinois Urbana-Champaign
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa082
• 发表日期: 2021
• 页码: 1952
• 关键词: information; volatility; MARKETS

摘要

The question of whether and to what extent option trading affects underlying stock prices has been of interest to researchers since exchange-based options trading began in 1973. Recent research presents evidence of an informational channel through which option trading affects stock prices by showing that option market makers' stock trades to hedge new options positions cause the information reflected in option trading to be impounded into underlying equity prices. This paper provides evidence of a noninformational channel through which option market maker hedge rebalancing affects stock return volatility and the probability of large stock price moves.