Trading options and CDS on stocks under the short sale ban

IF 3.6 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance Pub Date : 2024-07-02 DOI:10.1016/j.jbankfin.2024.107243

Sophie Xiaoyan Ni , Jun Pan

引用次数: 0

Abstract

We analyze price discovery in the options and CDS markets during the 2008 short-sale ban. Among the banned stocks, those with high open-purchased put–call ratios, low synthetic-to-stock price ratios, or high CDS rates exhibit poor performance in the following days. Additionally, options prices are more efficient for unbanned stocks during the ban period. These findings suggest that informed investors engage in derivative trading during highly distressed market conditions and that derivative prices contain more information about stock prices during the ban.

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卖空禁令下的股票期权和 CDS 交易

我们分析了 2008 年卖空禁令期间期权和 CDS 市场的价格发现。在被禁股票中，那些未平仓认沽认购比率高、合成股票价格比率低或 CDS 比率高的股票在随后几天表现不佳。此外，在禁售期间，未被禁售股票的期权价格更有效。这些研究结果表明，知情投资者会在市场高度低迷的情况下参与衍生品交易，而且衍生品价格包含了更多关于禁售期间股票价格的信息。

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

Journal of Banking & Finance Multiple-

CiteScore

6.40

自引率

5.40%

发文量

262

期刊介绍： The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.