Information content of order imbalance in the index options market
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DOI: 10.1016/j.iref.2021.11.006
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More about this item
Keywords
Derivatives; Index options; Order imbalance; Informed trading; Delta hedging; Borsa Istanbul;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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