Relationship between Options Trading Volume and Company Value: Evidence from India

2013 ◽  
Vol 9 (2) ◽  
pp. 181-190
Author(s):  
Navdeep Aggarwal ◽  
Mohit Gupta
Keyword(s):  
Trading Volume ◽  
Company Value ◽  
Options Trading

scholarly journals The Effects of Technical and Fundamental Factors on the Investment Decision and the Company Value in the Agricultural Sector

2020 ◽  
Vol 1 (6) ◽  
pp. 411-425
Author(s):  
Mamay Komarudin ◽  
Naufal Affandi
Keyword(s):  
Stock Price ◽  
Trading Volume ◽  
Agricultural Sector ◽  
Stock Exchange ◽  
Investment Decision ◽  
The Other ◽  
Book Value ◽  
Positive Effects ◽  
Company Value ◽  
Equity Ratio

This study aims to analyze the influences of technical variables, which consist of the stock price and the Total Volume Activity (TVA), as well as fundamental variables, which consist of the Price Book Value (PBV) and the Debt to Equity Ratio (DER) on the investment decisions and the company value measured by using the PER of some companies of agricultural sector listed in the Indonesian Stock Exchange. Path analysis is used as the data analysis method. The research results show that one of the technical factors that significantly influences the investment decision and the company value is the stock price. Meanwhile, one of the fundamental factors that influences the investment decision and the company value is the PBV. The hypothesis testing showing that the stock price factor and the PBV factor have positive effects on the value of agricultural sector company is proven or accepted. On the other hand, the other variables, according to theorema trimming, are proved to be not includable in the path calculation if the path is proved to be insignificant, in this case the DER and the trading volume variable

Stock price response to S&P 500 index inclusions: Do options listings and options trading volume matter?

2013 ◽  
Vol 23 ◽  
pp. 379-401 ◽  
Author(s):  
Yangyang Chen ◽  
Constantine Koutsantony ◽  
Cameron Truong ◽  
Madhu Veeraraghavan
Keyword(s):  
Stock Price ◽  
Trading Volume ◽  
Price Response ◽  
Options Trading

scholarly journals Options Trading Costs Are Lower than You Think

2020 ◽  
Vol 33 (11) ◽  
pp. 4973-5014 ◽  
Author(s):  
Dmitriy Muravyev ◽  
Neil D Pearson
Keyword(s):  
High Frequency ◽  
Trading Volume ◽  
Fair Value ◽  
Price Impact ◽  
Trading Strategies ◽  
Trading Costs ◽  
Options Markets ◽  
Price Changes ◽  
Options Trading ◽  
Effective Spread

Abstract Conventional estimates of the costs of taking liquidity in options markets are large. Nonetheless, options trading volume is high. We resolve this puzzle by showing that options price changes are predictable at high frequency, and many traders time executions by buying (selling) when the option fair value is close to the ask (bid). Effective spreads of traders who time executions are less than 40% of the size of conventional measures, and the overall average effective spread is one-quarter smaller than conventional estimates. Price impact measures are also affected. These findings alter conclusions about the after-cost profitability of options trading strategies.

scholarly journals Informational Content of Options Trading on Acquirer Announcement Return

2015 ◽  
Vol 50 (5) ◽  
pp. 1057-1082 ◽  
Author(s):  
Konan Chan ◽  
Li Ge ◽  
Tse-Chun Lin
Keyword(s):  
Stock Price ◽  
Abnormal Return ◽  
Trading Volume ◽  
Implied Volatility ◽  
Merger And Acquisition ◽  
Informational Content ◽  
Cumulative Abnormal Return ◽  
Target Firms ◽  
Announcement Returns ◽  
Options Trading

AbstractThis study examines the informational content of options trading on acquirer announcement returns. We show that implied volatility spread predicts positively on the cumulative abnormal return (CAR), and implied volatility skew predicts negatively on the CAR. The predictability is much stronger around actual merger and acquisition (M&A) announcement days, as compared with pseudo-event days. The prediction is weaker if pre-M&A stock price has incorporated part of the information, but stronger if the acquirer’s options trading is more liquid. Finally, we find that a higher relative trading volume of options to stock predicts higher absolute CARs. The relation also exists among the target firms.

Trading in the Options Market around Financial Analysts’ Consensus Revisions

2014 ◽  
Vol 49 (3) ◽  
pp. 725-747 ◽  
Author(s):  
Darren K. Hayunga ◽  
Peter P. Lung
Keyword(s):  
Stock Market ◽  
Transaction Costs ◽  
Trading Volume ◽  
Financial Analysts ◽  
Options Market ◽  
Sample Analysis ◽  
Consensus Recommendation ◽  
Out Of Sample ◽  
Correct Direction ◽  
Options Trading

AbstractThis article investigates the options market around a revision in the financial analysts’ consensus recommendation. The results demonstrate that options investors trade in the correct direction of the upcoming revision approximately 3 days prior to the announcement. We find this behavior in option-implied prices, implied volatilities, and options trading volume. Tests confirm that the options market leads the stock market before the financial analysts’ revision. Moreover, using all firms with outstanding options, an out-of-sample analysis produces a profitable zero-cost trading strategy net of transaction costs based on the relative valuations between the synthetic and the underlying equity security.

Sign in / Sign up

Export Citation Format

Share Document