The price impact of options and futures volume in after-hours stock market trading

研究成果: 雜誌貢獻期刊論文同行評審

14 引文 斯高帕斯(Scopus)

摘要

We set out in this study to investigate the price impacts of options and futures trading prior to the stock market opening. Our findings indicate clustering by a high proportion of informed traders during the 'pre-open' period, with their options and futures trading volume being found to have significant influences on price changes. The evidence from our focus on this specific trading period suggests that in both the options and futures markets, institutional investors are more sophisticated than other traders. The trading behavior of these informed traders adds support to the 'stealth-trading' hypothesis, particularly in the futures market.

原文???core.languages.en_GB???
頁(從 - 到)984-1007
頁數24
期刊Pacific Basin Finance Journal
21
發行號1
DOIs
出版狀態已出版 - 1月 2013

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