Trading volume and information asymmetries in index option markets: An empirical investigation

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi
dc.contributor.author Mehtäläinen, Antti
dc.date.accessioned 2013-01-14T11:35:02Z
dc.date.available 2013-01-14T11:35:02Z
dc.date.issued 2012
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/7425
dc.description.abstract Abstract While the exploitation of the firm-specific private information via equity options is now well documented, relatively little is known about the existence and exploitation of market-wide private information. This thesis investigates the behavior of aggregate trading volume in the S&P 500 index, the S&P 500 ETF, and the VIX options preceding informational announcements and further considers whether these volume series have any predictive power over absolute returns of the S&P 500 index. Interestingly, the trading volume in all series appears to be abnormally high preceding important macroeconomic announcements and trading days associated with high absolute returns. However, predictive regression and Granger causality test results indicate that only the volume of ETF options has statistically significant, although economically modest, predictive power over absolute returns of the S&P 500 index. en
dc.format.extent 48
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.title Trading volume and information asymmetries in index option markets: An empirical investigation en
dc.type G2 Pro gradu, diplomityö fi
dc.contributor.school Kauppakorkeakoulu fi
dc.contributor.school School of Business en
dc.contributor.department Department of Finance en
dc.contributor.department Rahoituksen laitos fi
dc.subject.keyword Trading volume
dc.subject.keyword Information
dc.subject.keyword Options
dc.identifier.urn URN:NBN:fi:aalto-201304031867
dc.type.dcmitype text en
dc.programme.major Finance en
dc.programme.major Rahoitus fi
dc.type.ontasot Master's thesis en
dc.type.ontasot Pro gradu tutkielma fi
dc.subject.helecon rahoitus
dc.subject.helecon financing
dc.subject.helecon tieto
dc.subject.helecon knowledge
dc.subject.helecon informaatio
dc.subject.helecon information
dc.subject.helecon optiot
dc.subject.helecon option
dc.ethesisid 13081
dc.date.dateaccepted 2012-11-29
dc.location P1 I


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