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Trading in option contracts before large price changes: A comparative study of US and UK markets

Author

Listed:
  • Emilios C. C Galariotis

    (Audencia Recherche - Audencia Business School)

  • Wu Rong
  • Spyros I. Spyrou

Abstract

Previous studies indicate that traders in possession of important information are more likely to transact in option contracts rather than the underlying asset. This article examines stock option trading volume before significant price changes in the underlying stock for all S&P100 and FTSE 100 constituent stocks. Our findings indicate irregular option trading volume before a significant amount of large price changes. This effect is less pronounced in the UK market.

Suggested Citation

  • Emilios C. C Galariotis & Wu Rong & Spyros I. Spyrou, 2014. "Trading in option contracts before large price changes: A comparative study of US and UK markets," Post-Print hal-01122593, HAL.
    • Handle: RePEc:hal:journl:hal-01122593
    DOI: 10.1057/jdhf.2014.8
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    Cited by:

    1. 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.

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