This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Information, Alternative Markets, and Security Price Processes: A Survey of Literature

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Rafiqul Bhuyan (University College of the cariboo, Bc, Canada)

Additional information is available for the following registered author(s):

Abstract

In this paper, we survey a wide range of theoretical and empirical papers on derivatives markets to address the information contents of trading activities in derivatives markets. Both theoretical and empirical research on options market and futures market indicate that the presence of alternative markets may be a factor for informed traders' presence in one of or in both markets to trade on their information. One group of researchers support the hypothesis that information reflects in derivatives market first and underlying stock market lags in information transmission. Another group of researchers support the hypothesis that information reflects in stock markets first and trading activities in derivatives markets are not significant. Since researchers are not in agreement in this issue, it raises a potential for further research on different activities of derivatives market.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://129.3.20.41/eps/fin/papers/0211/0211002.pdf
File Format: application/pdf
File Function:
Download Restriction: no
File URL: http://129.3.20.41/eps/fin/papers/0211/0211002.ps.gz
File Format: application/postscript
File Function:
Download Restriction: no
File URL: http://129.3.20.41/eps/fin/papers/0211/0211002.doc.gz
File Format: application/msword
File Function:
Download Restriction: no

Publisher Info
Paper provided by EconWPA in its series Finance with number 0211002.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 45 pages
Date of creation: 17 Nov 2002
Date of revision:
Handle: RePEc:wpa:wuwpfi:0211002

Note: Type of Document - word; prepared on IBM PC; to print on HP/PostScript/Franciscan monk; pages: 45 ; figures: No figures. It is a survey of literature on alternative markets. No such survey exists in the current literature. But is quite useful to have one.
Contact details of provider:
Web page: http://129.3.20.41

For technical questions regarding this item, or to correct its listing, contact: (EconWPA).

Related research
Keywords: Open Interest Volume Market Efficiency Information Traders.

Other versions of this item:

Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. repec:fth:bfdipa:4/2000 is not listed on IDEAS
  2. Merton, Robert C, 1973. "The Relationship Between Put and Call Option Prices: Comment," Journal of Finance, American Finance Association, vol. 28(1), pages 183-84, March. [Downloadable!] (restricted)
  3. Biais, Bruno & Hillion, Pierre, 1994. "Insider and Liquidity Trading in Stock and Options Markets," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 7(4), pages 743-80. [Downloadable!] (restricted)
  4. Hyun Song Shin & Andrew Postlewaite & Stephen Morris, 1995. "Depth of knowledge and the effect of higher order uncertainty," Economic Theory, Springer, vol. 6(3), pages 453-467.
    Other versions:
  5. Chan, Kalok, 1992. "A Further Analysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 5(1), pages 123-52. [Downloadable!] (restricted)
  6. Detemple, Jerome B & Selden, Larry, 1991. "A General Equilibrium Analysis of Option and Stock Market Interactions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 32(2), pages 279-303, May. [Downloadable!] (restricted)
  7. Milgrom, Paul & Stokey, Nancy, 1982. "Information, trade and common knowledge," Journal of Economic Theory, Elsevier, vol. 26(1), pages 17-27, February. [Downloadable!] (restricted)
    Other versions:
  8. Bessembinder, Hendrik & Chan, Kalok & Seguin, Paul J., 1996. "An empirical examination of information, differences of opinion, and trading activity," Journal of Financial Economics, Elsevier, vol. 40(1), pages 105-134, January. [Downloadable!] (restricted)
  9. Chong, Yock Y & Hendry, David F, 1986. "Econometric Evaluation of Linear Macro-Economic Models," Review of Economic Studies, Blackwell Publishing, vol. 53(4), pages 671-90, August. [Downloadable!] (restricted)
  10. Sanford J. Grossman, 1989. "An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies," NBER Working Papers 2357, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  11. Merton, Robert C, 1981. "On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts," Journal of Business, University of Chicago Press, vol. 54(3), pages 363-406, July. [Downloadable!] (restricted)
  12. Merton, Robert C & Scholes, Myron S & Gladstein, Mathew L, 1978. "The Returns and Risk of Alternative Call Option Portfolio Investment Strategies," Journal of Business, University of Chicago Press, vol. 51(2), pages 183-242, April. [Downloadable!] (restricted)
  13. Hietala, Pekka & Jokivuolle, Esa & Koskinen, Yrjö, 2000. "Informed Trading, Short Sales Constraints, and Futures' Pricing," Working Paper Series in Economics and Finance 366, Stockholm School of Economics. [Downloadable!]
  14. Kumar, Praveen & Seppi, Duane J, 1994. "Information and Index Arbitrage," Journal of Business, University of Chicago Press, vol. 67(4), pages 481-509, October. [Downloadable!] (restricted)
  15. Jaesun Noh & Robert F. Engle & Alex Kane, 1993. "A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts," NBER Working Papers 4520, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  16. Detemple, J.B. & Jorion, P., 1989. "Option Listing And Stock Returns," Papers fb-_89-13, Columbia - Graduate School of Business.
  17. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June. [Downloadable!] (restricted)
  18. David Easley & Maureen O'Hara & P.S. Srinivas, 1998. "Option Volume and Stock Prices: Evidence on Where Informed Traders Trade," Journal of Finance, American Finance Association, vol. 53(2), pages 431-465, 04. [Downloadable!] (restricted)
  19. Figlewski, Stephen & Webb, Gwendolyn P, 1993. " Options, Short Sales, and Market Completeness," Journal of Finance, American Finance Association, vol. 48(2), pages 761-77, June. [Downloadable!] (restricted)
  20. Blume, Lawrence & Easley, David & O'Hara, Maureen, 1994. " Market Statistics and Technical Analysis: The Role of Volume," Journal of Finance, American Finance Association, vol. 49(1), pages 153-81, March. [Downloadable!] (restricted)
  21. Hietala, Pekka & Jokivuolle, Esa & Koskinen, Yrjö, 2000. "Informed Trading, Short Sales Constraints and Futures' Pricing," Research Discussion Papers 4/2000, Bank of Finland. [Downloadable!]
  22. Cao, H Henry, 1999. "The Effect of Derivative Assets on Information Acquisition and Price Behavior in a Rational Expectations Equilibrium," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 12(1), pages 131-63.
  23. Chen, Nai-Fu & Cuny, Charles J & Haugen, Robert A, 1995. " Stock Volatility and the Levels of the Basis and Open Interest in Future Contracts," Journal of Finance, American Finance Association, vol. 50(1), pages 281-300, March. [Downloadable!] (restricted)
  24. 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 1043-57, September. [Downloadable!] (restricted)
  25. Grenadier, Steven R, 1999. "Information Revelation through Option Exercise," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 12(1), pages 95-129.
  26. Anthony, Joseph H, 1988. " The Interrelation of Stock and Options Market Trading-Volume Data," Journal of Finance, American Finance Association, vol. 43(4), pages 949-64, September. [Downloadable!] (restricted)
  27. Mayhew, Stewart & Sarin, Atulya & Shastri, Kuldeep, 1995. " The Allocation of Informed Trading across Related Markets: An Analysis of the Impact of Changes in Equity-Option Margin Requirements," Journal of Finance, American Finance Association, vol. 50(5), pages 1635-53, December. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? No RePEc service, like IDEAS, charges for the use or the display of bibliographic data.

This page was last updated on 2008-8-8.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.