We show evidence of a liquidity searching behaviour of informed investors in option listings, which was also found by … find that the option bid-ask spread may be still a good proxy for informed trading, despite of the liquidity searching … traders avoid trading in initial periods after listing dates due to the low liquidity environment), which is steeper for …

volume as a measure of liquidity and supports the derivative hedge theory. Option market spreads are positively related to … using transactions data. We propose a new market microstructure theory which we call derivative hedge theory, in which … underlying market, as measured by the liquidity of the latter market. In a perfect hedge world, spreads arise from the …

, while also focusing on issuers' hedging costs. We evaluate more than 396,000 single stock discount certificates on an …-related, i.e. dividends of the underlying, issuers' credit risk, lifecycle effect and competition, whereas hedging costs and … risks are economically less important. However, initial hedging costs are also priced into the premium in the case of large …

Financial exchanges provide incentives for limit order book (LOB) liquidity provision to certain market participants … participants for a certain portion of the day, we argue that liquidity demand throughout the trading day is far from uniformly … distributed, and thus this liquidity provision may not be calibrated to the demand. We propose that quoting obligations also …