IDEAS home Printed from https://ideas.repec.org/a/cup/jfinqa/v36y2001i04p485-501_00.html
   My bibliography  Save this article

Trade Size and Information-Motivated Trading in the Options and Stock Markets

Author

Listed:
  • Lee, Jason
  • Yi, Cheong H.

Abstract

This study investigates the extent of information-motivated trading conditional on trade size in the options and stock markets. We find envidence that the options market is the primary venue for information trading only for small investors, whereas large ivestors do not necessarily trade options rather than stocks when they are informed. With different trading mechanisms in the stock and options markets, this finding implies that investors, when facing different impediments to information-related trading, select different vehicles to exploit their information. We also show that the adverse selection component of the bid-ask spread decreases with option delta, implying that options with greater finanical leverage attract more informed investors. Overall, our results reinforce the notion that the options market is a venue for information-motivated trading.

Suggested Citation

  • Lee, Jason & Yi, Cheong H., 2001. "Trade Size and Information-Motivated Trading in the Options and Stock Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 36(4), pages 485-501, December.
    • Handle: RePEc:cup:jfinqa:v:36:y:2001:i:04:p:485-501_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0022109000009649/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:jfinqa:v:36:y:2001:i:04:p:485-501_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/jfq .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.