Synthetic long stock and option trading: Evidence from stock splits

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-05-03 DOI:10.1111/jfir.12404

Yifan Liu, Louis R. Piccotti

引用次数: 0

Abstract

We theoretically and empirically identify synthetic long stock as an alternative driver of option trading. Our model proves that the use of synthetic long stocks by capital‐constrained traders contributes to at‐the‐money (ATM) option trading. Using an event study based on stock splits, we document empirical evidence consistent with the model's predictions. ATM option trading declines after stock splits, and these declines are more pronounced for stock splits with higher stock split factors and for more illiquid stocks but are less pronounced for more illiquid options. Our study implies that option trading can occur even without information or opinion dispersion.

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合成多头股票和期权交易：股票分割的证据

我们从理论和实证角度将合成多头股票确定为期权交易的另一种驱动力。我们的模型证明，资本受限的交易者使用合成多头股票有助于价内（ATM）期权交易。利用基于股票拆分的事件研究，我们记录了与模型预测一致的经验证据。股票拆分后，ATM 期权交易量会下降，而且股票拆分系数越高、流动性越差的股票，ATM 期权交易量下降的幅度越大，但流动性越差的期权，ATM 期权交易量下降的幅度越小。我们的研究表明，即使没有信息或意见分歧，期权交易也会发生。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.