{"title":"稀薄期权市场的信息作用:来自西班牙案例的经验证据","authors":"C. Martín, Begoña Herrero Piqueras, Ana Escribano","doi":"10.4067/S0718-52862016000200004","DOIUrl":null,"url":null,"abstract":"This study investigates the informational role of thin options markets, specifically the Spanish options market. Firstly, we examine the effect of options markets by analysing stock market reaction to earnings news, conditional on the availability of options markets. Secondly, we examine options trading activity before the release of earnings news (including the announcement period). The results show that the impact on prices before the earnings release is significantly bigger when options trading is available. Moreover, the dissemination of earnings news is associated with significant unusual activity in the options market due to informed trading, especially when the earnings surprise is highly good.","PeriodicalId":43766,"journal":{"name":"Estudios De Economia","volume":"68 1","pages":"233-263"},"PeriodicalIF":0.4000,"publicationDate":"2016-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The informational role of thin options markets: Empirical evidence from the Spanish case\",\"authors\":\"C. Martín, Begoña Herrero Piqueras, Ana Escribano\",\"doi\":\"10.4067/S0718-52862016000200004\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This study investigates the informational role of thin options markets, specifically the Spanish options market. Firstly, we examine the effect of options markets by analysing stock market reaction to earnings news, conditional on the availability of options markets. Secondly, we examine options trading activity before the release of earnings news (including the announcement period). The results show that the impact on prices before the earnings release is significantly bigger when options trading is available. Moreover, the dissemination of earnings news is associated with significant unusual activity in the options market due to informed trading, especially when the earnings surprise is highly good.\",\"PeriodicalId\":43766,\"journal\":{\"name\":\"Estudios De Economia\",\"volume\":\"68 1\",\"pages\":\"233-263\"},\"PeriodicalIF\":0.4000,\"publicationDate\":\"2016-11-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Estudios De Economia\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.4067/S0718-52862016000200004\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Estudios De Economia","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.4067/S0718-52862016000200004","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"ECONOMICS","Score":null,"Total":0}
The informational role of thin options markets: Empirical evidence from the Spanish case
This study investigates the informational role of thin options markets, specifically the Spanish options market. Firstly, we examine the effect of options markets by analysing stock market reaction to earnings news, conditional on the availability of options markets. Secondly, we examine options trading activity before the release of earnings news (including the announcement period). The results show that the impact on prices before the earnings release is significantly bigger when options trading is available. Moreover, the dissemination of earnings news is associated with significant unusual activity in the options market due to informed trading, especially when the earnings surprise is highly good.
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
