The informational role of thin options marketsEmpirical evidence from the Spanish case

  1. C. José García Martín
  2. Begoña Herrero Piqueras
  3. Ana María Ibáñez Escribano
Revista:
Estudios de economía

ISSN: 0304-2758,  0718-5286

Año de publicación: 2016

Volumen: 43

Número: 2

Páginas: 233-263

Tipo: Artículo

DOI: 10.4067/S0718-52862016000200004 DIALNET GOOGLE SCHOLAR lock_openDialnet editor

Otras publicaciones en: Estudios de economía

Resumen

El trabajo analiza el papel informativo de los mercados de opciones para el caso de escasa negociación, centrándose en el mercado español. Estudiamos el efecto de la llegada de nueva información relevante, como es el anuncio de beneficios, en el mercado de contado bajo la presencia de opciones sobre dichas acciones. Además, examinamos la actividad negociadora en el mercado de opciones ante dicho suceso. Los resultados muestran que el impacto de la información es superior cuando existen opciones cotizadas sobre dichas acciones. Adicionalmente, se observa una actividad negociadora anormal en el mercado de opciones debido a la negociación informada, principalmente cuando la noticia es muy buena.

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