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Informational Role of Open Interest and Transaction Volume of Options: A Meta-Analytic Review

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  • Avinash
  • T. Mallikarjunappa

Abstract

The study examines the research literature pertaining to the informational content of open interest and transaction volume in a systematic manner. Our review upheld their informational role in estimating the price of the underlying stock in future, in predicting future volatility and in ascertaining the market behaviour around corporate/macro-economic announcements with mixed directional effect. Further, through well-defined inclusion/exclusion criteria, we choose 38 research works to uncover the factors and conditions upon which open interest and transaction volume are more informative via meta-regression. The temporal and spatial factors indicate that open interest and transaction volume are more informative in an emerging market as compared to a developed market.

Suggested Citation

  • Avinash & T. Mallikarjunappa, 2020. "Informational Role of Open Interest and Transaction Volume of Options: A Meta-Analytic Review," FIIB Business Review, , vol. 9(4), pages 275-285, December.
    • Handle: RePEc:sae:fbbsrw:v:9:y:2020:i:4:p:275-285
    DOI: 10.1177/2319714520980662
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    References listed on IDEAS

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