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Essays on the information flow from ...

Atilgan, Yigit.

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Essays on the information flow from option markets to stock markets.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Essays on the information flow from option markets to stock markets./
作者:	Atilgan, Yigit.
面頁冊數:	109 p.
附註:	Source: Dissertation Abstracts International, Volume: 71-11, Section: A, page: 4119.
Contained By:	Dissertation Abstracts International71-11A.
標題:	Economics, Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3423923
ISBN:	9781124253251

Essays on the information flow from option markets to stock markets.
Atilgan, Yigit.

Essays on the information flow from option markets to stock markets. - 109 p.

Source: Dissertation Abstracts International, Volume: 71-11, Section: A, page: 4119.

Thesis (Ph.D.)--City University of New York, 2010.

Informed traders might prefer the option markets over stock markets due to advantages offered by option trading such as reduced transaction costs, enhanced opportunities for taking short positions and higher leverage. The first chapter of this dissertation provides a brief review of the empirical and theoretical literatures related to this question.

ISBN: 9781124253251Subjects--Topical Terms:

626650
Economics, Finance.

Essays on the information flow from option markets to stock markets.
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245 1 0 $a Essays on the information flow from option markets to stock markets.
300 $a 109 p.
500 $a Source: Dissertation Abstracts International, Volume: 71-11, Section: A, page: 4119.
500 $a Advisers: Turan G. Bali; K. Ozgur Demirtas.
502 $a Thesis (Ph.D.)--City University of New York, 2010.
520 $a Informed traders might prefer the option markets over stock markets due to advantages offered by option trading such as reduced transaction costs, enhanced opportunities for taking short positions and higher leverage. The first chapter of this dissertation provides a brief review of the empirical and theoretical literatures related to this question.
520 $a The second chapter investigates the intertemporal relation between volatility spreads and expected market returns. If informed traders who prefer to trade in the option markets demand more put (call) options before negative (positive) price movements due to their private information, then one would expect to see a significantly negative intertemporal relation between put minus call implied volatility spreads and aggregate returns. The results indicate that volatility spreads are significantly and negatively related to expected market returns after controlling for conditional variance and macroeconomic variables that proxy for the changes in future investment opportunities. Since the volatility spreads may also proxy for skewness, direct physical and risk-neutral skewness measures are constructed and the results indicate that there is no significant relation between various measures of skewness and expected market returns. The predictive ability of volatility spreads is stronger when consumer sentiment index is unusually high or low.
520 $a The third chapter brings a more thorough look into the predictive ability of deviations from put-call parity on stock returns. If the trading activity of informed investors is an important driver of deviations from put-call parity, then the predictability of stock returns should be more pronounced during major information events such as earnings announcements. These deviations are measured by the implied volatility spreads between pairs of matched put and call options. During a two-day earnings announcement window, the abnormal returns to a portfolio that buys stocks with relatively expensive call options is about 2 percent greater than the abnormal returns to a portfolio that buys stocks with relatively expensive put options. The informational role of option markets is further supported by the findings that the degree of announcement return predictability is stronger when deviations from put-call parity are measured using more liquid options, information environment is more asymmetric and stock liquidity is low.
590 $a School code: 0046.
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710 2 $a City University of New York. $b Business. $3 1020697
773 0 $t Dissertation Abstracts International $g 71-11A.
790 1 0 $a Bali, Turan G., $e advisor
790 1 0 $a Demirtas, K. Ozgur, $e advisor
790 1 0 $a Hovakimian, Armen $e committee member
790 1 0 $a Cakici, Nusret $e committee member
790 $a 0046
791 $a Ph.D.
792 $a 2010
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3423923