Informed Trading in Stock and Option Markets

By Sugato Chakravarty, Huseyin Gulen, Stewart Mayhew. 2004

742 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7ae9b828d81f1271d42df051c0cc6e7b3e0659d0

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Citations in the corpus

Informed trading in the index option market: The case of KOSPI 200 options (2008, background): “Meanwhile, Chakravarty et al. (2004) document evidence that trading volume and spreads are both related to informed trading in the option market.”
Is There Price Discovery in Equity Options (2013, methodology): “…causality tests by Anthony (1988) and evolving to the vector autoregression error correction models estimated by Chan, Chung, and Fong (2002), Chakravarty, Gulen, and Mayhew (2004), and Holowczak, Simaan, and Wu (2006).2 1 In addition, Easley, O’Hara, and Srinivas (1998) present evidence…”
Has the CDS Market Influenced the Borrowing Cost of European Countries During the Sovereign Crisis (2012, neutral): “(2005) Cossin and Lu (2005), Crouch and Marsh (2005) and Zhu (2006) among others, have empirically evidenced that corporate CDS premia incorporate a lower liquidity premium than underlying bonds.”
The Information of Option Volume for Future Stock Prices (2004, positive): “…related papers on the informational linkage between the option and stock markets include empirical investigations by Manaster and Rendleman (1982), Stephan and Whaley (1990), Vijh (1990), Figlewski and Webb (1993), Mayhew, Sarin, and Shastri (1995), Chakravarty, Gulen, and Mayhew (2002) and others.”
Does Option Trading Convey Stock Price Information (2014, background): “For example, Chakravarty, Gulen, and Mayhew (2004) find that the information share of option quotes is less than 20% on average.”
Stealth Trading in Options Markets (2007, methodology): “…that Hasbrouck (1995) uses, is similar to the inclusion of last sale trade prices in the price vector in Hasbrouck (2003), transactions prices in Chakravarty, Gulen, and Mayhew (2004), and trade prices of regular and E-mini S&P 500 and Nasdaq 100 futures contracts in Kurov and Lasser (2004),…”
Sovereign CDS and bond pricing dynamics in emerging markets: Does the cheapest-to-deliver option matter? (2011, neutral): “…illiquid (high bid-ask spread), price discovery tends to shift to the CDS market (higher GG measure), which is consistent with the findings of Chakravarty, Gulen, and Mayhew (2004) that the level of contribution of options to price discovery is higher when liquidity is higher relative to…”
Style-Related Comovement: Fundamentals or Labels? (2011, methodology): “In particular, I follow Fama and French (2002), Chakravarty, Gulen, and Mayhew (2004), and Petersen (2007) and multiply standard errors by the square-root of(1+φ)/(1−φ), where φ is the first-order autocorrelation coefficient of the estimated parameter.”
The Bright Side of Financial Derivatives: Options Trading and Firm Innovation (2016, positive): “…options markets alter incentives for market participants to gather private information that is especially relevant for long-term investments, and trading on such information makes stock prices more efficient (e.g., Cao, 1999; Chakravarty, Gulen, and Mayhew, 2004; Pan and Poteshman, 2006; Hu, 2014).”
What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns? (2010, background): “C, we examine time-series behavior of volatility skew, and whether predictability lasts beyond one week.”
What Do Price Discovery Metrics Really Measure (2013, background): “Chakravarty et al. (2004) find that option market IS tends to be higher when option spreads are narrow and stock spreads are wide.”
Volatility Information Trading in the Option Market (2008, positive): “We investigate the relOptVolume variable because of the evidence in Chakravarty et al. (2004) that the ratio of option volume to stock volume impacts the degree of price discovery in the option market.”