Informed trading in S&P index options? : evidence from the 2008 financial crisis
Year of publication: |
June 2017
|
---|---|
Authors: | Li, Wei-Xuan ; French, Joseph J. ; Chen, Clara Chia-Sheng |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 42.2017, p. 40-65
|
Subject: | S&P 500 Index (SPX) Options | Market microstructure | Adverse selection | Information asymmetry | Informed trading | Asymmetrische Information | Asymmetric information | Adverse Selektion | Theorie | Theory | Marktmikrostruktur | Index-Futures | Index futures | Finanzkrise | Financial crisis | Optionsgeschäft | Option trading | Geld-Brief-Spanne | Bid-ask spread | Finanzmarkt | Financial market | Wertpapierhandel | Securities trading |
-
Price dynamics and market liquidity : an intraday event study on Euronext
Mazza, Paolo, (2015)
-
Limit order book (LOB) shape modeling in presence of heterogeneously informed market participants
Drame, Mouhamad, (2019)
-
Optimal liquidation and adverse selection in dark pools
Kratz, Peter, (2018)
- More ...
-
Toward an early warning system of financial crises : what can index futures and options tell us?
Li, Wei-Xuan, (2015)
-
The relationship between liquidity, corporate governance, and firm valuation : evidence from Russia
Li, Wei-xuan, (2012)
-
The relationship between liquidity, corporate governance, and firm valuation: Evidence from Russia
Li, Wei-Xuan, (2012)
- More ...