IDEAS home Printed from https://ideas.repec.org/p/tas/wpaper/23734.html
   My bibliography  Save this paper

The information content of short selling and put option trading: When are they substitutes?

Author

Abstract

Using January 2005 – June 2007 trading data for all NYSE stocks we identify the informational patterns and impact of exogenous shocks in short sales and option trades upon stock price changes. We find that short sales have more predictive power than put option trades. However, if short selling volume is low put options trading does have predictive power and thus may be a substitute used by informed investors.

Suggested Citation

  • Deng, Xiaohu & Gao, Lei & Kemme, David, 2017. "The information content of short selling and put option trading: When are they substitutes?," Working Papers 2017-13, University of Tasmania, Tasmanian School of Business and Economics.
    • Handle: RePEc:tas:wpaper:23734
    as

    Download full text from publisher

    File URL: http://eprints.utas.edu.au/23734/1/2017-13_Deng_Gao_Kemme.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Short selling; Put option trades; Informational patterns; Price discovery;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    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:tas:wpaper:23734. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Oscar Pavlov (email available below). General contact details of provider: https://edirc.repec.org/data/dutasau.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.