Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/92472
Title: | Contract size changes in the options market : effects on market efficiency and investor behaviour | Authors: | Park, SG Ryu, D |
Issue Date: | 2021 | Source: | Applied economics, 2021, v. 53, no. 57, p. 6670-6682 | Abstract: | We study options market participants’ trading behaviour before and after the options multiplier increases. After the options multiplier increases, the options market becomes more efficient. By analysing the high-frequency microstructure dataset, we show that local retail and local institutional investors who trade in both options and futures markets trade more after the change in the multiplier. Our results imply that the increase in the market efficiency may be caused by fewer speculators. In addition, lottery stocks are traded more actively after the options multiplier increase. | Keywords: | Account-level trade and quote data Index options Lottery stocks Options multiplier Retail investor |
Publisher: | Routledge, Taylor & Francis Group | Journal: | Applied economics | ISSN: | 0003-6846 | EISSN: | 1466-4283 | DOI: | 10.1080/00036846.2021.1948962 | Rights: | © 2021 Informa UK Limited, trading as Taylor & Francis Group This is an Accepted Manuscript of an article published by Taylor & Francis in Disability and rehabilitationon on 05 Sep 2021 (published online), available at: http://www.tandfonline.com/10.108009638288.2021.1970248. |
Appears in Collections: | Journal/Magazine Article |
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Effect of ankle-foot orthoses.pdf | Pre-Published version | 5.61 MB | Adobe PDF | View/Open |
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