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

Author

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  • Rafiqul Bhuyan

    (University College of the cariboo, Bc, Canada)

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.

Suggested Citation

  • Rafiqul Bhuyan, 2002. "Information, Alternative Markets, and Security Price Processes: A Survey of Literature," Finance 0211002, University Library of Munich, Germany.
    • 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.
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Open Interest; Volume; Market Efficiency; Information Traders.;
    All these keywords.

    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; Quantile Regressions; Social Interaction Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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