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

Ano de publicación: 2016

Volume: 43

Número: 2

Páxinas: 233-263

Tipo: Artigo

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

Outras publicacións en: Estudios de economía

Resumo

This study investigates the informational role of thin options markets, specifically the Spanish options market. Firstly, we examine the effect of options markets by analysing stock market reaction to earnings news, conditional on the availability of options markets. Secondly, we examine options trading activity before the release of earnings news (including the announcement period). The results show that the impact onprices before the earnings release is significantly bigger when options trading is available. Moreover, the dissemination of earnings news is associated with significant unusual activity in the options market due to informed trading, especially when the earnings surprise is highly good.

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