Are option traders more informed than Twitter users? A PVAR analysis
Author
Abstract
Suggested Citation
DOI: 10.1002/fut.22303
Download full text from publisher
References listed on IDEAS
- Glasserman, Paul & Mamaysky, Harry, 2019. "Does Unusual News Forecast Market Stress?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(5), pages 1937-1974, October.
- Caihong Xu, 2014. "Expiration‐Day Effects of Stock and Index Futures and Options in Sweden: The Return of the Witches," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(9), pages 868-882, September.
- Renault, Thomas, 2017.
"Intraday online investor sentiment and return patterns in the U.S. stock market,"
Journal of Banking & Finance, Elsevier, vol. 84(C), pages 25-40.
- Thomas Renault, 2017. "Intraday online investor sentiment and return patterns in the U.S. stock market," Post-Print hal-03205113, HAL.
- De Long, J Bradford & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1990.
"Noise Trader Risk in Financial Markets,"
Journal of Political Economy, University of Chicago Press, vol. 98(4), pages 703-738, August.
- J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, "undated". "Noise Trader Risk in Financial Markets," J. Bradford De Long's Working Papers _124, University of California at Berkeley, Economics Department.
- De Long, J. Bradford & Shleifer, Andrei & Summers, Lawrence H. & Waldmann, Robert J., 1990. "Noise Trader Risk in Financial Markets," Scholarly Articles 3725552, Harvard University Department of Economics.
- Thomas Renault, 2017. "Intraday online investor sentiment and return patterns in the U.S. stock market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03205113, HAL.
- Manaster, Steven & Rendleman, Richard J, Jr, 1982. "Option Prices as Predictors of Equilibrium Stock Prices," Journal of Finance, American Finance Association, vol. 37(4), pages 1043-1057, September.
- Jun Pan & Allen M. Poteshman, 2006.
"The Information in Option Volume for Future Stock Prices,"
Review of Financial Studies, Society for Financial Studies, vol. 19(3), pages 871-908.
- Jun Pan & Allen Poteshman, 2004. "The Information of Option Volume for Future Stock Prices," NBER Working Papers 10925, National Bureau of Economic Research, Inc.
- Chiras, Donald P. & Manaster, Steven, 1978. "The information content of option prices and a test of market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 213-234.
- Anthony, Joseph H, 1988. " The Interrelation of Stock and Options Market Trading-Volume Data," Journal of Finance, American Finance Association, vol. 43(4), pages 949-964, September.
- Parkinson, Michael, 1980. "The Extreme Value Method for Estimating the Variance of the Rate of Return," The Journal of Business, University of Chicago Press, vol. 53(1), pages 61-65, January.
- Gregory S. Miller, 2006. "The Press as a Watchdog for Accounting Fraud," Journal of Accounting Research, Wiley Blackwell, vol. 44(5), pages 1001-1033, December.
- Jiao, Peiran & Veiga, André & Walther, Ansgar, 2020.
"Social media, news media and the stock market,"
Journal of Economic Behavior & Organization, Elsevier, vol. 176(C), pages 63-90.
- Andre Veiga & Ansgar Walther, 2016. "Social Media, News Media and the Stock Market," Economics Series Working Papers Paper-805, University of Oxford, Department of Economics.
- Arellano, Manuel & Bover, Olympia, 1995.
"Another look at the instrumental variable estimation of error-components models,"
Journal of Econometrics, Elsevier, vol. 68(1), pages 29-51, July.
- M Arellano & O Bover, 1990. "Another Look at the Instrumental Variable Estimation of Error-Components Models," CEP Discussion Papers dp0007, Centre for Economic Performance, LSE.
- Martens, Martin & van Dijk, Dick, 2007.
"Measuring volatility with the realized range,"
Journal of Econometrics, Elsevier, vol. 138(1), pages 181-207, May.
- Martens, M.P.E. & van Dijk, D.J.C., 2006. "Measuring volatility with the realized range," Econometric Institute Research Papers EI 2006-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Xing, Yuhang & Zhang, Xiaoyan & Zhao, Rui, 2010. "What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(3), pages 641-662, June.
- Sugato Chakravarty & Huseyin Gulen & Stewart Mayhew, 2004. "Informed Trading in Stock and Option Markets," Journal of Finance, American Finance Association, vol. 59(3), pages 1235-1258, June.
- Latane, Henry A & Rendleman, Richard J, Jr, 1976. "Standard Deviations of Stock Price Ratios Implied in Option Prices," Journal of Finance, American Finance Association, vol. 31(2), pages 369-381, May.
- Timm O. Sprenger & Philipp G. Sandner & Andranik Tumasjan & Isabell M. Welpe, 2014. "News or Noise? Using Twitter to Identify and Understand Company-specific News Flow," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(7-8), pages 791-830, September.
- Werner Antweiler & Murray Z. Frank, 2004. "Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards," Journal of Finance, American Finance Association, vol. 59(3), pages 1259-1294, June.
- Beckers, Stan, 1981. "Standard deviations implied in option prices as predictors of future stock price variability," Journal of Banking & Finance, Elsevier, vol. 5(3), pages 363-381, September.
- Selin Duz Tan & Oktay Tas, 2021. "Social Media Sentiment in International Stock Returns and Trading Activity," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 22(2), pages 221-234, April.
- Hailiang Chen & Prabuddha De & Yu (Jeffrey) Hu & Byoung-Hyoun Hwang, 2014. "Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media," Review of Financial Studies, Society for Financial Studies, vol. 27(5), pages 1367-1403.
- Christensen, B. J. & Prabhala, N. R., 1998. "The relation between implied and realized volatility," Journal of Financial Economics, Elsevier, vol. 50(2), pages 125-150, November.
- Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002.
"Unit root tests in panel data: asymptotic and finite-sample properties,"
Journal of Econometrics, Elsevier, vol. 108(1), pages 1-24, May.
- Tom Doan, "undated". "LEVINLIN: RATS procedure to perform Levin-Lin-Chu test for unit roots in panel data," Statistical Software Components RTS00242, Boston College Department of Economics.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Zin Yau Heng & Henry Leung, 2023. "The role of option‐based information on StockTwits, options trading volume, and stock returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(8), pages 1091-1125, August.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Alejandro Bernales & Thanos Verousis & Nikolaos Voukelatos & Mengyu Zhang, 2020. "What do we know about individual equity options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 67-91, January.
- Rui Fan & Oleksandr Talavera & Vu Tran, 2023.
"Social media and price discovery: The case of cross‐listed firms,"
Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(1), pages 151-167, February.
- Rui Fan & Oleksandr Talavera & Vu Tran, 2020. "Social media and price discovery: the case of cross-listed firms," Discussion Papers 20-05, Department of Economics, University of Birmingham.
- Rui Fan & Oleksandr Talavera & Vu Tran, 2020.
"Social media bots and stock markets,"
European Financial Management, European Financial Management Association, vol. 26(3), pages 753-777, June.
- Rui Fan & Oleksandr Talavera & Vu Tran, 2018. "Social media bots and stock markets," Working Papers 2018-30, Swansea University, School of Management.
- Daniele Ballinari & Simon Behrendt, 2021. "How to gauge investor behavior? A comparison of online investor sentiment measures," Digital Finance, Springer, vol. 3(2), pages 169-204, June.
- Chen, Cathy Yi-Hsuan & Fengler, Matthias R. & Härdle, Wolfgang Karl & Liu, Yanchu, 2022.
"Media-expressed tone, option characteristics, and stock return predictability,"
Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
- Chen, Cathy Yi-Hsuan & Fengler, Matthias R. & Härdle, Wolfgang Karl & Liu, Yanchu, 2019. "Media-expressed tone, Option Characteristics, and Stock Return Predictability," IRTG 1792 Discussion Papers 2019-015, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Santi, Caterina, 2023. "Investor climate sentiment and financial markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
- Na, Haejung & Kim, Soonho, 2021. "Predicting stock prices based on informed traders’ activities using deep neural networks," Economics Letters, Elsevier, vol. 204(C).
- Szymon Lis, 2022. "Investor Sentiment in Asset Pricing Models: A Review," Working Papers 2022-14, Faculty of Economic Sciences, University of Warsaw.
- Viteva, Svetlana & Veld-Merkoulova, Yulia V. & Campbell, Kevin, 2014. "The forecasting accuracy of implied volatility from ECX carbon options," Energy Economics, Elsevier, vol. 45(C), pages 475-484.
- Ncube, Mthuli, 1996. "Modelling implied volatility with OLS and panel data models," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 71-84, January.
- Seo, Sung Won & Kim, Jun Sik, 2015. "The information content of option-implied information for volatility forecasting with investor sentiment," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 106-120.
- Rui Fan & Oleksandr Talavera & Vu Tran, 2018. "Does connection with @realDonaldTrump affect stock prices?," Working Papers 2018-07, Swansea University, School of Management.
- Zhangxin (Frank) Liu & Michael J. O'Neill & Tom Smith, 2017. "State-preference pricing and volatility indices," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(3), pages 815-836, September.
- Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2023. "Options-based systemic risk, financial distress, and macroeconomic downturns," Journal of Financial Markets, Elsevier, vol. 65(C).
- Chen, Cathy Yi-Hsuan & Fengler, Matthias R. & Härdle, Wolfgang Karl & Liu, Yanchu, 2018.
"Textual Sentiment, Option Characteristics, and Stock Return Predictability,"
IRTG 1792 Discussion Papers
2018-023, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Yi-Hsuan Chen, Cathy & Fengler, Matthias & Härdle, Wolfgang Karl & Liu, Yanchu, 2018. "Textual Sentiment, Option Characteristics, and Stock Return Predictability," Economics Working Paper Series 1808, University of St. Gallen, School of Economics and Political Science.
- Chang‐Mo Kang & Donghyun Kim & Junyong Kim & Geul Lee, 2022. "Informed trading of out‐of‐the‐money options and market efficiency," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(2), pages 247-279, June.
- Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2020. "Options-based systemic risk, financial distress, and macroeconomic downturns," LSE Research Online Documents on Economics 118850, London School of Economics and Political Science, LSE Library.
- Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2023. "Options-based systemic risk, financial distress, and macroeconomic downturns," LSE Research Online Documents on Economics 119289, London School of Economics and Political Science, LSE Library.
- Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013.
"Forecasting with Option-Implied Information,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 581-656,
Elsevier.
- Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
- Du, Brian & Fung, Scott, 2018. "Directional information effects of options trading: Evidence from the banking industry," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 149-168.
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:wly:jfutmk:v:42:y:2022:i:9:p:1755-1771. 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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Wiley Content Delivery (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/0270-7314/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.