Information, Alternative Markets, and Security Price Processes: A Survey of Literature
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.
|Date of creation:||17 Nov 2002|
|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://econwpa.repec.org|
References listed on IDEAS
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