The dynamic relation between options trading, short selling, and aggregate stock returns

被引：6

作者：

DeLisle R.J. ^{[1
]}

Lee B.S. ^{[2
]}

Mauck N. ^{[3
]}

机构：

[1] Department of Economics and Finance, Utah State University, Logan, 84322-3565, UT

[2] Department of Finance, Florida State University, Tallahassee, 32306, FL

[3] Department of Finance, University of Missouri - Kansas City, Kansas City, 64110, MO

来源：

Review of Quantitative Finance and Accounting | 2016年 / 47卷 / 3期

关键词：

Informed traders; Options market; Short selling; Time series analysis;

D O I：

10.1007/s11156-015-0516-2

中图分类号：

学科分类号：

摘要：

We examine the information contained in option trading and short selling using a dynamic VAR model. First, we address whether options and shorts are complements or substitutes. Contrary to existing event studies around option listing introductions, we show short selling and options trading are complements rather than substitutes. Second, we examine which group is relatively more informed. The results indicate that options traders are relatively more informed. Finally, we examine if options are redundant. Our results indicate that options markets are non-redundant. © 2015, Springer Science+Business Media New York.

引用

页码：645 / 671

页数：26

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