The Information Content of the VIX Options Trading Volume

2021 ◽  
Author(s):  
Chen Gu ◽  
Xu Guo ◽  
Alexander Kurov ◽  
Raluca Stan
Keyword(s):  
Information Content ◽  
Trading Volume ◽  
Vix Options ◽  
Options Trading

scholarly journals Information content of options trading volume for future volatility: Evidence from the Taiwan options market

2010 ◽  
Vol 34 (1) ◽  
pp. 174-183 ◽  
Author(s):  
Chuang-Chang Chang ◽  
Pei-Fang Hsieh ◽  
Yaw-Huei Wang
Keyword(s):  
Information Content ◽  
Trading Volume ◽  
Options Market ◽  
Options Trading

The information content of the volatility index options trading volume

2021 ◽  
Author(s):  
Chen Gu ◽  
Xu Guo ◽  
Alexander Kurov ◽  
Raluca Stan
Keyword(s):  
Information Content ◽  
Trading Volume ◽  
Index Options ◽  
Volatility Index ◽  
Options Trading

scholarly journals Information Content of Options Trading Volume for Future Volatility: Evidence from the Taiwan Options Market

2008 ◽  
Author(s):  
Chuang-Chang Chang ◽  
Pei-Fang Hsieh ◽  
Yaw-Huei Wang
Keyword(s):  
Information Content ◽  
Trading Volume ◽  
Options Market ◽  
Options Trading

The Information Content of the S&P 500 Index and VIX Options on the Dynamics of the S&P 500 Index

2010 ◽  
Author(s):  
Chung San-Lin ◽  
Wei-Che Tsai ◽  
Yaw-Huei Wang ◽  
Pei-Shih Pace Weng
Keyword(s):  
Information Content ◽  
Vix Options

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

Voluntary disclosures and market response to earnings announcements

2018 ◽  
Vol 17 (1) ◽  
pp. 2-17 ◽  
Author(s):  
Guy Dinesh Fernando ◽  
Justin Giboney ◽  
Richard A. Schneible
Keyword(s):  
Information Asymmetry ◽  
Stock Returns ◽  
Information Content ◽  
Voluntary Disclosure ◽  
Stock Price ◽  
Trading Volume ◽  
Voluntary Disclosures ◽  
Release Date ◽  
Price Movement ◽  
Content Type

Purpose The aim of this paper is to investigate the impact of voluntary disclosure on information asymmetry between investors and the average information content of subsequent the earnings announcement. Design/methodology/approach The authors use empirical methodology relying on multiple regression analyses. The authors estimate models of trading volume and stock returns around the earnings’ release date as a function of voluntary disclosures, measured using information in the 8-K statements. Findings Voluntary disclosures prior to the earnings release date increase trading volume related to stock returns. In addition, voluntary disclosures also reduce stock price movement around that date. Research limitations/implications The results indicate that voluntary disclosures increase trading volume related to stock returns around the earnings release date. Such increases indicate increased differential precision among investors, demonstrating that voluntary disclosures increase differences in opinion among investors. The reduced stock price movement around the earnings release date also show that voluntary disclosures reduce the information content of earnings. One limitation is that the measure of voluntary disclosures does not consider the variation in the information content of individual disclosures. Practical implications Firms who make voluntary disclosures will need to carefully consider how to structure such releases to minimize asymmetry between investors. Investors should pay greater attention to finding out, and interpreting, voluntary disclosures by firms. Social implications Regulators have previously expressed concern about leveling the playing field between more and less informed investors. The results showing increased differences in information as a result of voluntary disclosures provide valuable insights as regulators debate the balance of mandated and voluntary disclosure. Originality/value This is the first study to investigate the effect of voluntary disclosures on information asymmetry among investors using trading volume and, consequently, the first to find increased differences among investors that result from those voluntary disclosures. The paper is also the first to use a direct measure of voluntary disclosure developed by Cooper et al. to demonstrate the negative relation between voluntary disclosure and the average informativeness of earnings announcements.

More than just Noise? Examining the Information Content of Stock Microblogs on Financial Markets

2018 ◽  
Vol 33 (1) ◽  
pp. 50-69 ◽  
Author(s):  
Ting Li ◽  
Jan van Dalen ◽  
Pieter Jan van Rees
Keyword(s):  
Financial Markets ◽  
Stock Returns ◽  
Information Content ◽  
Computational Linguistics ◽  
Trading Volume ◽  
Abnormal Returns ◽  
Feature Reduction ◽  
Individual Investors ◽  
Market Sentiment ◽  
Aggregation Of Information

Scholars and practitioners alike increasingly recognize the importance of stock microblogs as they capture the market discussion and have predictive value for financial markets. This paper examines the extent to which stock microblog messages are related to financial market indicators and the mechanism leading to efficient aggregation of information. In particular, this paper investigates the information content of stock microblogs with respect to individual stocks and explores the effects of social influences on an interday and intraday basis. We collected more than 1.2 million stock-related messages (i.e., tweets) related to S&P 100 companies over a period of 7 months. Using methods from computational linguistics, we went through an elaborate process of message feature reduction, spam detection, language detection, and slang removal, which has led to an increase in classification accuracy for sentiment analysis. We analyzed the data on both a daily and a 15-min basis and found that the sentiment of messages is positively affected with contemporaneous daily abnormal stock returns and that message volume predicts 15-min follow-up returns, trading volume, and volatility. Disagreement in microblog messages positively influences stock features, both in interday and intraday analysis. Notably, if we give a greater share of voice to microblog messages depending on the social influence of microbloggers, this amplifies the relationship between bullishness and abnormal returns, market volume, and volatility. Following knowledgeable investors advice results in more power in explaining changes in market features. This offers an explanation for the efficient aggregation of information on microblogging platforms. Furthermore, we simulated a set of trading strategies using microblog features and the results suggest that it is possible to exploit market inefficiencies even when transaction costs are included. To our knowledge, this is the first study to comprehensively examine the association between the information content of stock microblogs and intraday stock market features. The insights from the study permit scholars and professionals to reliably identify stock microblog features, which may serve as valuable proxies for market sentiment and permit individual investors to make better investment decisions.

Does trading volume detect information content in earnings reconciliations of foreign firms?

2004 ◽  
Vol 13 (2) ◽  
pp. 71-87 ◽  
Author(s):  
Judith A. Hora ◽  
Rasoul H. Tondkar ◽  
Ruth Ann McEwen
Keyword(s):  
Information Content ◽  
Trading Volume ◽  
Foreign Firms

scholarly journals PENGARUH PENGUMUMAN SAHAM BONUS TERHADAP VOLUME PERDAGANGAN SAHAM

2017 ◽  
Vol 2 (2) ◽  
pp. 1
Author(s):  
Ardiansyah R.
Keyword(s):  
Information Content ◽  
Stock Price ◽  
Trading Volume ◽  
Secondary Data ◽  
Volume Activity ◽  
Earning Growth ◽  
Demand And Supply ◽  
Before And After ◽  
The One ◽  
Research Analysis

<p class="Style21">The aim of this research is to test the information content from the announcement of share bonus. For that research is rarely to be observed. However, that research can use the near theory, like stock split and stock dividend. That announcement can be the one classified, it can be said the other term is stock distribution.</p><p class="Style21">This research is to use the secondary data and the measurement is called the trading volume actilAty. The reason of using of that measurement, because it is the important thing, beside the stock price. By observing the trading volume activity it can be seen the fluctuation of the meeting from the demand and supply side. For knowing the significant of changing in the trading volume activity can be measured by approaching the compare mean, that approaching is to compare between before and after share announcement. That event could be a signal for the stock market and it is having the information content</p><p class="Style21">For this research, it also use the earning growth, that earning is usually as a indicator of good or bad performance from the company condition. This can describe what the companies look. And also this can add the research analysis, then more supported. And that research can be the combination of analysis method between the fundamental and technical analysis.</p><p class="Style21">The result of this research indicates, the event can affect the trading volume for all companies and for companies in non-manufacturing and also for in the crisis period. But the market reaction tend to the negative reaction by assuming that there is no spread information before that event.</p><p class="Style1"><em>Keywords: Sham bonus, trading volume activity and earning growth.</em></p>

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