Marches derives et trading de volatilite
Bibliographic Data
| ID | 10459352 |
|---|---|
| Authors | Gunther Capelle-Blancard, Gunther Capelle‐Blancard (0000-0001-5688-0113, corresponding author) |
| Year | 2003 |
| Volume | 54 |
| Issue | 3 |
| Pages | 663-663 |
| Publication date | 2003-01-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Revue économique (JOURNAL) |
| Journal identifiers | ISSN: 0035-2764 • E-ISSN: 1950-6694 |
| Publisher | Sciences Po (PUBLISHER • FR) |
| DOI | 10.3917/reco.543.0663 |
| OpenAlex | W2035088061 |
| Language | EN |
| Citations received | 1 |
| References cited | 3 |
This article investigates the implications of volatility trading on the behavior of informed traders. The major finding is that volatility traders evict directional traders from the options market. Indeed, we provide conditions under which informed-volatility trades have a positive impact on options bid-ask spread so that informed-directional traders choose the spot market. While these results do not confirm that option returns lead spot returns, they are consistent with previous empirical findings. Classification JEL?: C32, G12, G14
Business · Economics · Equity (law · Financial economics · Humanities · Political science · Volatility (finance · Complex Systems and Time Series Analysis · Corporate Finance and Governance · Economic theories and models · Financial Markets and Investment Strategies · Market Dynamics and Volatility · Philosophy
| Unique citing works | 1 |
|---|---|
| Citations per year | 0,06 |
| Citation span | 2009 - 2009 (1) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 1 |