IDEAS home Printed from https://ideas.repec.org/r/cup/jfinqa/v42y2007i01p167-187_00.html
   My bibliography  Save this item

Stealth Trading in Options Markets

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Yang-Ho Park, 2019. "Variance Disparity and Market Frictions," Finance and Economics Discussion Series 2019-059, Board of Governors of the Federal Reserve System (U.S.).
  2. Hankil Kang & Jangkoo Kang & Soonhee Lee, 2016. "Which Traders Contribute Most to Price Discovery? Evidence from the KOSPI 200 Options Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(10), pages 2335-2347, October.
  3. William Arrata & Alejandro Bernales & Virginie Coudert, 2013. "The effects of Derivatives on Underlying Financial Markets: Equity Options, Commodity Futures and Credit Default Swaps," Post-Print hal-01410748, HAL.
  4. Tsai, Shih-Chuan, 2013. "Investors' information advantage and order choices in an order-driven market," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 932-951.
  5. Chang, Chuang-Chang & Hsieh, Pei-Fang & Lai, Hung-Neng, 2013. "The price impact of options and futures volume in after-hours stock market trading," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 984-1007.
  6. Park, Seongkyu Gilbert & Ryu, Doojin, 2019. "Speed and trading behavior in an order-driven market," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 145-164.
  7. Menkhoff, Lukas & Schmeling, Maik, 2010. "Whose trades convey information? Evidence from a cross-section of traders," Journal of Financial Markets, Elsevier, vol. 13(1), pages 101-128, February.
  8. Doojin Ryu & Heejin Yang, 2018. "The directional information content of options volumes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(12), pages 1533-1548, December.
  9. Ascioglu, Asli & Comerton-Forde, Carole & McInish, Thomas H., 2011. "Stealth trading: The case of the Tokyo Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 19(2), pages 194-207, April.
  10. Niels C. Thygesen & Robert N. McCauley & Guonan Ma & William R. White & Jakob de Haan & Willem van den End & Jon Frost & Christiaan Pattipeilohy & Mostafa Tabbae & Ernest Gnan & Morten Balling & Paul , 2013. "50 Years of Money and Finance: Lessons and Challenges," SUERF 50th Anniversary Volume - 50 Years of Money and Finance: Lessons and Challenges, SUERF - The European Money and Finance Forum, number 1 edited by Morten Balling & Ernest Gnan, March.
  11. William Cready & Abdullah Kumas & Musa Subasi, 2014. "Are Trade Size‐Based Inferences About Traders Reliable? Evidence from Institutional Earnings‐Related Trading," Journal of Accounting Research, Wiley Blackwell, vol. 52(4), pages 877-909, September.
  12. Piccotti, Louis R. & Schreiber, Ben Z., 2020. "Information shares in a two-tier FX market," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 19-35.
  13. 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.
  14. Da Dong & Qingfu Liu & Pingping Tao & Zhiliang Ying, 2021. "The pricing mechanism between ETF option and spot markets in China," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1286-1300, August.
  15. A. Bernales, 2014. "The Effects of Information Asymmetries on the Ex-Post Success of Stock Option Listings," Working papers 495, Banque de France.
  16. Han-Ching Huang & Yong-Chern Su & Chun-Chi Shih, 2013. "Speed of Convergence to Market Efficiency: Example of Top loser Stocks," International Journal of Economics and Financial Issues, Econjournals, vol. 3(3), pages 591-601.
  17. Carol Osler & Geir Bjonnes & Neophytos Kathitziotis, 2016. "Bid-Ask Spreads in OTC Markets," Working Papers 102, Brandeis University, Department of Economics and International Business School.
  18. Hsieh, Wen-liang G. & He, Huei-Ru, 2014. "Informed trading, trading strategies and the information content of trading volume: Evidence from the Taiwan index options market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 187-215.
  19. Gradojevic, Nikola & Erdemlioglu, Deniz & Gençay, Ramazan, 2017. "Informativeness of trade size in foreign exchange markets," Economics Letters, Elsevier, vol. 150(C), pages 27-33.
  20. Fricke, Christoph & Menkhoff, Lukas, 2011. "Does the "Bund" dominate price discovery in Euro bond futures? Examining information shares," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1057-1072, May.
  21. Upson, James & McInish, Thomas & IV, B. Hardy Johnson, 2021. "Order based versus level book trade reporting: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 125(C).
  22. Nidhi Aggarwal & Susan Thomas, 2019. "When stock futures dominate price discovery," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 263-278, March.
  23. Kelley Bergsma & Andy Fodor & Vijay Singal & Jitendra Tayal, 2020. "Option trading after the opening bell and intraday stock return predictability," Financial Management, Financial Management Association International, vol. 49(3), pages 769-804, September.
  24. Collver, Charles, 2009. "Measuring the impact of option market activity on the stock market: Bivariate point process models of stock and option transactions," Journal of Financial Markets, Elsevier, vol. 12(1), pages 87-106, February.
  25. Van Le, 2016. "The effect of short-sale restrictions: another perspective," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 12(5), pages 700-714, October.
  26. Blau, Benjamin M. & Smith, Jason M., 2014. "Autocorrelation in daily short-sale volume," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 31-41.
  27. Lee, Jaeram & Ryu, Doojin & Yang, Heejin, 2021. "Does vega-neutral options trading contain information?," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 294-314.
  28. Hu, May & Park, Jason & Chen, Jane & Verhoevenc, Peter, 2022. "Cross-market informed trading in the CDS and option markets," Global Finance Journal, Elsevier, vol. 54(C).
  29. Hu, May & Narayan, Paresh & Park, Jason & Verhoeven, Peter, 2022. "Informed trading in the CDS and OTM put option markets," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 353-367.
  30. Doojin Ryu, 2012. "The effectiveness of the order-splitting strategy: an analysis of unique data," Applied Economics Letters, Taylor & Francis Journals, vol. 19(6), pages 541-549, April.
  31. Doojin Ryu & Jinyoung Yu, 2021. "Informed options trading around holidays," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 658-685, May.
  32. Doan, Bao & Vo, Duc Hong, 2021. "Is there any information content of traded stocks in an emerging market? Evidence from Vietnam," International Economics, Elsevier, vol. 167(C), pages 78-87.
  33. Cebiroglu, Gökhan & Hautsch, Nikolaus & Walsh, Christopher, 2019. "Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect?," CFS Working Paper Series 625, Center for Financial Studies (CFS).
  34. Le, Van & Zurbruegg, Ralf, 2016. "The impact of short sale restrictions on informed trading in the stock and options markets," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 262-273.
  35. Podolski, Edward J. & Truong, Cameron & Veeraraghavan, Madhu, 2013. "Informed options trading prior to takeovers – Does the regulatory environment matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 286-305.
  36. Alejandro Bernales & Massimo Guidolin, 2013. "The Effects of Information Asymmetries on the Success of Stock Option Listings," Working Papers 484, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  37. Hyeyoen Kim & Doojin Ryu, 2012. "Which trader's order-splitting strategy is effective? The case of an index options market," Applied Economics Letters, Taylor & Francis Journals, vol. 19(17), pages 1683-1692.
  38. Franzoni, Francesco & Di Maggio, Marco & Massa, Massimo & Tubaldi, Roberto, 2019. "Strategic Trading as a Response to Short Sellers," CEPR Discussion Papers 13812, C.E.P.R. Discussion Papers.
  39. Bernales, Alejandro & Cañón, Carlos & Verousis, Thanos, 2018. "Bid–ask spread and liquidity searching behaviour of informed investors in option markets," Finance Research Letters, Elsevier, vol. 25(C), pages 96-102.
  40. Augustin, Patrick & Brenner, Menachem & Grass, Gunnar & Orłowski, Piotr & Subrahmanyam, Marti G., 2023. "Informed options strategies before corporate events," Journal of Financial Markets, Elsevier, vol. 63(C).
  41. Li, Wei-Xuan & French, Joseph J. & Chen, Clara Chia-Sheng, 2017. "Informed trading in S&P index options? Evidence from the 2008 financial crisis," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 40-65.
  42. Bernales, Alejandro, 2017. "The success of option listings," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 139-161.
  43. Francesco Carlier, 2021. "A Simple Options Trading Strategy based on Technical Indicators," International Journal of Economics and Financial Issues, Econjournals, vol. 11(2), pages 88-91.
  44. Brigida, Matt & Pratt, William R., 2017. "Fake news," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 564-573.
  45. Di Maggio, Marco & Franzoni, Francesco & Massa, Massimo & Tubaldi, Roberto, 2024. "Strategic trading as a response to short sellers," Journal of Financial Markets, Elsevier, vol. 69(C).
  46. Natashekara, Karthik & Sampath, Aravind, 2024. "Informed trading and cryptocurrencies. New evidence using tick-by-tick data," Finance Research Letters, Elsevier, vol. 61(C).
  47. Park, Yang-Ho, 2020. "Variance disparity and market frictions," Journal of Econometrics, Elsevier, vol. 214(2), pages 326-348.
  48. Doojin Ryu, 2015. "Information content of inter-transaction time: A structural approach," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 16(4), pages 697-711, August.
  49. Nikola Gradojevic, 2014. "Informativeness of the Trade Size in an Electronic Foreign Exchange Market," Working Papers 2014-ACF-02, IESEG School of Management.
  50. Augustin, Patrick & Brenner, Menachem & Grass, Gunnar & Orłowski, Piotr & Subrahmanyam, Marti G., 2022. "Informed options strategies before corporate events," LawFin Working Paper Series 39, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
  51. Jongho Kang & Jangkoo Kang & Jaeram Lee, 2022. "Who and what drives informed options trading after the market opens?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 338-364, March.
  52. Piccotti, Louis R. & Schreiber, Ben Z., 2015. "Information shares of two parallel currency options markets: Trading costs versus transparency/tradability," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 210-229.
  53. Chulwoo Han & Soosung Hwang & Doojin Ryu, 2015. "Market overreaction and investment strategies," Applied Economics, Taylor & Francis Journals, vol. 47(54), pages 5868-5885, November.
  54. Alejandro Bernales & Thanos Verousis & Nikolaos Voukelatos & Mengyu Zhang, 2020. "What do we know about individual equity options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 67-91, January.
  55. Deb, Saikat Sovan & Kalev, Petko S. & Marisetty, Vijaya B., 2013. "Flexible price limits: The case of Tokyo Stock Exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 66-84.
  56. Kang, Bo Soo & Ryu, Doojin & Ryu, Doowon, 2014. "Phase-shifting behaviour revisited: An alternative measure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 167-173.
  57. Choy, Siu Kai & Wei, Jason, 2012. "Option trading: Information or differences of opinion?," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2299-2322.
  58. Kelley Bergsma & Vivien Csapi & Dean Diavatopoulos & Andy Fodor, 2020. "Show me the money: Option moneyness concentration and future stock returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(5), pages 761-775, May.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.