Option volume and stock prices: Evidence on where informed traders trade

• 成果类型: Article
• 署名作者: Easley, D; O'Hara, M; Srinivas, PS
• 署名单位: Cornell University; Cornell University; The World Bank
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.194060
• 发表日期: 1998
• 页码: 431-465
• 关键词: BID-ASK SPREAD; securities markets; INFORMATION; returns; components; futures; COSTS

摘要

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.