The Allocation of Informed Trading Across Related Markets: An Analysis of the Impact of Changes in Equity-Option Margin Requirements

1995 ◽  
Vol 50 (5) ◽  
pp. 1635-1653 ◽  
Author(s):  
STEWART MAYHEW ◽  
ATULYA SARIN ◽  
KULDEEP SHASTRI
Keyword(s):  
Informed Trading ◽  
Margin Requirements ◽  
Equity Option ◽  
The Impact

scholarly journals Margin requirements and Stock Market Volatility in Bangladesh

2012 ◽  
Vol 3 (2) ◽  
pp. 29
Author(s):  
A. F. M. Mainul Ahsan ◽  
Mohammad Osman Gani ◽  
Md. Bokhtiar Hasan
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Stock Exchange ◽  
Price Volatility ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Margin Requirements ◽  
Margin Requirement ◽  
Daily Stock Returns ◽  
The Impact

Officially margin requirements in bourses in Bangladesh were initiated on April 28, 1999, to limit the amount of credit available for the purpose of buying stocks. The goal of this paper is to measure the impact of changing margin requirement on stock returns' volatility in Dhaka Stock Exchange (DSE). The impact of margin requirement on stock price volatility has been extensively studied with mixed and ambiguous results. Using daily stock returns, we found mixed evidence that SEC's margin requirements have significant impact on market volatility in DSE.

scholarly journals Informed Trading of Futures Markets During the Financial Crisis: Evidence from the VPIN

2017 ◽  
Vol 9 (9) ◽  
pp. 123 ◽  
Author(s):  
Yen-Hsien Lee ◽  
Wen-Chien Liu ◽  
Chia-Lin Hsieh
Keyword(s):  
Financial Crisis ◽  
Institutional Investors ◽  
Special Kind ◽  
Informed Trading ◽  
Individual Level ◽  
Day Of The Week ◽  
Foreign Institutional Investors ◽  
The Individual ◽  
Probability Of Informed Trading ◽  
The Impact

This paper examines the impact of informed trading on futures returns during the 2008-2009 financial crisis. To precisely capture the informed trading in the highly volatile market during this period, we adopt the Volume-Synchronized Probability of Informed Trading (VPIN) of Easley, Hvidkjaer and O’Hara (2012) as our main measurement for informed trading. Besides, we also use a unique transaction dataset with investor identity to classify investors into domestic and foreign institutional investors, which the foreign institutional investors are supposed to be characterized by a higher degree of informed trading. Our empirical results show that the VPIN of foreign institutional investors has indeed significantly positive impacts on futures returns at the individual level. By contrast, the effect of the VPIN of domestic institutional investors on futures returns is only significant on Wednesdays, which could be seen as a special kind of day-of-the-week effect.

The impact of equity option expirations on the prices of non-expiring options

1995 ◽  
Vol 4 (2) ◽  
pp. 109-123
Author(s):  
John B. Broughton ◽  
Don M. Chance ◽  
David M. Smith
Keyword(s):  
Equity Option ◽  
The Impact

Innovation and Informed Trading: Evidence from Industry ETFs

2020 ◽  
Author(s):  
Shiyang Huang ◽  
Maureen O’Hara ◽  
Zhuo Zhong
Keyword(s):  
Market Efficiency ◽  
Hedge Fund ◽  
Informed Trading ◽  
Risk Exposure ◽  
Exchange Traded Funds ◽  
Post Earnings Announcement Drift ◽  
Earnings Surprises ◽  
Short Interest ◽  
The Impact ◽  
Industry Risk

Abstract We empirically examine the impact of industry exchange-traded funds (IETFs) on informed trading and market efficiency. We find that IETF short interest spikes simultaneously with hedge fund holdings on the member stock before positive earnings surprises, reflecting long-the-stock/short-the-ETF activity. This pattern is stronger among stocks with high industry risk exposure. A difference-in-difference analysis on the ETF inception event shows that IETFs reduce post-earnings-announcement drift more among stocks with high industry risk exposure, suggesting that IETFs improve market efficiency. We also find that the short interest ratio of IETFs positively predicts IETF returns, consistent with the hedging role of IETFs.

scholarly journals The Impact of a Premium-Based Tick Size on Equity Option Liquidity

2015 ◽  
Vol 36 (4) ◽  
pp. 397-417 ◽  
Author(s):  
Thanos Verousis ◽  
Owain ap Gwilym ◽  
Nikolaos Voukelatos
Keyword(s):  
Tick Size ◽  
Equity Option ◽  
The Impact

scholarly journals Stock Return Autocorrelation and Individual Equity Option Prices

2021 ◽  
Vol 9 (1) ◽  
pp. p51
Author(s):  
Fei Fang
Keyword(s):  
Stock Return ◽  
Implied Volatility ◽  
Option Price ◽  
Option Prices ◽  
Equity Options ◽  
First Order ◽  
Price Structure ◽  
Clear Link ◽  
Equity Option ◽  
The Impact

This study demonstrates empirically the impact of stock return autocorrelation on the prices of individual equity option. The option prices are characterized by the level and slope of implied volatility curves, and the stock return autocorrelation is measured by variance ratio and first-order serial return autocorrelation. Using a large sample of U.S. stocks, we show that there is a clear link between stock return autocorrelation and individual equity option prices: a higher stock return autocorrelation leads to a lower level of implied volatility (compared to realized volatility) and a steeper implied volatility curve. The stock return autocorrelation is more important in explaining the level of implied volatility curve for relatively small stocks. The relation between stock return autocorrelation and option price structure is more pronounced when market is volatile, especially during financial crisis. The stock return autocorrelation is more important in explaining the level of implied volatility curve for relatively small stocks. Thus, stock return autocorrelation can help differentiate the price structure across individual equity options.

The Impact of Margin Requirements on Voluntary Clearing Decisions

2021 ◽  
Author(s):  
Esen Onur ◽  
David Reiffen ◽  
Rajiv Sharma
Keyword(s):  
Margin Requirements ◽  
The Impact
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