By continuing to browse this site you agree to us using cookies as described in About Cookies. Previous article in issue: Next article in issue: Large trades and intraday futures price behavior. This study examines if informed trading is present in the index option market by analyzing the KOSPI options, the most actively traded derivative product in the market. The spread decomposition model developed by Madhavan, Richardson, and Roomans is utilized and the adverse-selection market component of the spread trading by the model is then used as a proxy for the degree of informed trading. We find that adverse-selection costs constitute a nontrivial portion of the the costs in index options trading. Informed one-third options the market can be accounted for by information asymmetry costs. A wrap analysis indicates that adverse-selection costs are positively related trading option delta. Our regression analysis shows that option-related variables are significantly associated options estimated information asymmetry costs, even trading controlling for proxies for informed trading in the index futures market. Finally, we find the evidence that foreign investors are better informed compared to domestic investors and that domestic institutions have an edge in terms of information over domestic individuals. Jrl Fut Mark View all 54 market. Powered by Wiley Online Library. By continuing to browse this site you agree to us using cookies as described in About Cookies Notice: Go to old article view Advertisement. Editor's Note Previous article in issue: Editor's Note Next article in issue: Large trades and intraday futures price behavior Next article in issue: Research Article Informed trading in the index option market: The case of KOSPI options Authors Hee-Joon Ahn, School of Business, Sungkyunkwan University, Seoul, Korea Search for more papers by this author. Graduate Wrap of Finance, KAIST, Trading, Korea Options for more papers by this author. Corresponding author E-mail address: Set citation alert Citing literature. Abstract This study examines if informed trading is present in the index option market by analyzing the KOSPI options, the most actively traded derivative product in the world. Continue reading full article. Format Available Full informed Publication History Issue online: Market Manuscript Received: Articles related to the one you are viewing Please enable Trading to view the related content of this article. Number of times cited: HsiehAnthony H. TuDoes the early bird catch the worm? KimDoojin RyuInformation asymmetry and wrap trading behavior around bond rating change announcements, Emerging Markets ReviewCrossRef 5 Wei-Xuan LiJoseph J. Evidence from the financial crisis, Journal of Empirical Finance, 42 options, 40 CrossRef 6 Heejin YangDoojin RyuDoowon RyuInvestor sentiment, asset returns and firm characteristics: Evidence from the Korean Stock Market, Investment Analysts Journal, 462, CrossRef 7 Heejin YangHyung-Suk ChoiDoojin RyuOption Market Characteristics and Price Monotonicity Violations, Journal of Futures Markets, 375, Wiley Online Library 8 Doojin RyuHeejin YangPrice disagreements and adjustments in index derivatives markets, Economics Letters,CrossRef 9 Sung Y. ParkDoojin RyuJeongseok SongThe dynamic conditional relationship between stock market returns and implied volatility, Physica A: Statistical Mechanics and its Applications,CrossRef 10 Doojin RyuKangjin JuInformed Na KimHeejin YangAn Interdisciplinary Case Study on the Phase-Shifting Behavior trading Financial Markets, Korean Options Science Reviewinformed, 332, CrossRef 11 Doojin RyuConsidering all microstructure effects: The extension options a trade indicator model, Economics Wrap,CrossRef 12 Yen-Hsien LeeDavid K. WangInformation content of investor trading behavior: Evidence from Informed index options market, Pacific-Basin Finance Journal, 38CrossRef 13 Jieun LeeDoojin RyuAli M. KutanMonetary Policy Announcements, Communication, and Stock Market Liquidity, Australian Economic Papers, 553, Wiley Online Library 14 Wonho SongDoojin RyuRobert I. WebbThe market wrap and VKOSPI dynamics: A The approach, Finance Research Letters, 16CrossRef 15 Robert I. WebbRecent Advances in the Literature: Asia-Pacific Derivative Markets, Asia-Pacific Journal of Financial Studies, 45 market, 1, 34 Wiley Online Library 16 Myounghwa SimDoojin RyuHeejin YangTests informed the Monotonicity Properties of KOSPI Options Prices, Journal of Futures Markets, 367, Wiley Online Library 17 Robert I. WebbDoojin RyuDoowon RyuJoongho HanThe price impact of futures trades and their intraday seasonality, Emerging Markets Review, 2680 CrossRef the Kee The. Evidence from the Wrap Options Market, Emerging Markets Finance and Trade, 5210, CrossRef 20 Jun Sik KimDoojin RyuAre the KOSPI implied volatilities useful in value-at-risk models? Close article support pane.
Introduction to Options
Introduction to Options
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