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Information contents of intraday SSE 50 ETF options trades

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  • Xingguo Luo
  • Wenye Cai
  • Doojin Ryu

Abstract

We examine the intraday price discovery role of the Shanghai Stock Exchange 50 exchange‐traded fund options using transaction‐level data. Contemporaneous options trading volumes have significant and permanent price impacts on futures returns, implying that some options traders are informed. The permanent price impacts of large options trades are much greater than those of small trades. We also find that liquidity changes due to regulatory policies affect the options market's informational role. Transactions generally convey less information during special trading sessions, including post‐break and closing sessions, perhaps because informed investors prefer to hide behind high liquidity.

Suggested Citation

  • Xingguo Luo & Wenye Cai & Doojin Ryu, 2022. "Information contents of intraday SSE 50 ETF options trades," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 580-604, April.
    • Handle: RePEc:wly:jfutmk:v:42:y:2022:i:4:p:580-604
    DOI: 10.1002/fut.22298
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    References listed on IDEAS

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    Cited by:

    1. Cheng, Rui & Frijns, Bart & Kim, Hyeongjun & Ryu, Doojin, 2024. "Effects of option incentive compensation on corporate innovation: The case of China," Economic Systems, Elsevier, vol. 48(1).
    2. Xingguo Luo & Doojin Ryu & Libin Tao & Chuxin Ye, 2024. "Price monotonicity violations during stock market crashes: Evidence from the SSE 50 ETF options market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(3), pages 533-554, March.
    3. Lockwood, Jimmy & Lockwood, Larry & Miao, Hong & Ramchander, Sanjay & Yang, Dongxiao, 2022. "The information content of ETF options," Global Finance Journal, Elsevier, vol. 53(C).
    4. Zhao, Wandi & Gao, Yang, 2023. "Network connectedness and the contagion structure of informed trading: Evidence from the time and frequency domains," International Review of Financial Analysis, Elsevier, vol. 90(C).

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