Stock and option market divergence in the presence of noisy information
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Cited by:
- Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2023. "Options-based systemic risk, financial distress, and macroeconomic downturns," LSE Research Online Documents on Economics 119289, London School of Economics and Political Science, LSE Library.
- Füss, Roland & Grabellus, Markus & Mager, Ferdinand & Stein, Michael, 2018.
"Something in the air: Information density, news surprises, and price jumps,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 50-75.
- Fuess, Roland & Grabellus, Markus & Mager, Ferdinand & Stein, Michael, 2015. "Something in the Air: Information Density, News Surprises, and Price Jumps," Working Papers on Finance 1517, University of St. Gallen, School of Finance.
- López-Penabad, Mª Celia & López-Andión, Carmen & Iglesias-Casal, Ana & Maside-Sanfiz, Jose Manuel, 2015. "Securitization in Spain and the wealth effect for shareholders," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 308-323.
- Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2023. "Options-based systemic risk, financial distress, and macroeconomic downturns," Journal of Financial Markets, Elsevier, vol. 65(C).
- Hayunga, Darren K. & Holowczak, Richard D. & Lung, Peter P. & Nishikawa, Takeshi, 2012. "Derivatives traders’ reaction to mispricing in the underlying equity," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2438-2454.
- Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2020. "Options-based systemic risk, financial distress, and macroeconomic downturns," LSE Research Online Documents on Economics 118850, London School of Economics and Political Science, LSE Library.
- Park, Na Young, 2020. "Trust and trusting behavior in financial institutions: Evidence from South Korea," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 408-419.
- Feng, Yaqin & Wang, Min & Zhang, Yuanqing, 2019. "CVA for Cliquet options under Heston model," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 272-282.
- Behn, Bruce K. & Carver, Brian T. & Neal, Terry L., 2013. "Small firms and the value of improvements in corporate governance mechanisms," Advances in accounting, Elsevier, vol. 29(2), pages 171-179.
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Keywords
Information and market efficiency Price pressure Options Informed trading;Statistics
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