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Net buying pressure and informed trading in the options market : evidence from earnings announcements
Badshah, Ihsan Ullah; Koerniadi, Hardjo - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-9
By employing the modified net buying pressure as a measure of informed option trading, this study tested whether option trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found evidence that is consistent with the idea that option...
Persistent link: https://www.econbiz.de/10012818141
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Dynamics of information leadership in the volatility complex with trading time changes : evidence from VIX futures and VIX ETPs
Hurwitz, Catalina I.; Mishra, Suchismita; Daigler, Robert T. - In: Algorithmic finance 9 (2022) 3/4, pp. 63-79
Persistent link: https://www.econbiz.de/10013459963
Cover Image
Net buying pressure and informed trading in the options market: Evidence from earnings announcements
Badshah, Ihsan Ullah; Koerniadi, Hardjo - In: Journal of Risk and Financial Management 15 (2022) 2, pp. 1-9
By employing the modified net buying pressure as a measure of informed option trading, this study tested whether option trading around quarterly earnings announcements is either directionally motivated and/or volatility motivated. We found evidence that is consistent with the idea that option...
Persistent link: https://www.econbiz.de/10013201357