Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/194246 
Year of Publication: 
2016
Citation: 
[Journal:] Estudios de Economía [ISSN:] 0718-5286 [Volume:] 43 [Issue:] 2 [Publisher:] Universidad de Chile, Departamento de Economía [Place:] Santiago de Chile [Year:] 2016 [Pages:] 233-263
Publisher: 
Universidad de Chile, Departamento de Economía, Santiago de Chile
Abstract: 
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 on prices 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.
Subjects: 
options market
thin market
informed trading
price discovery process
earnings announcement
JEL: 
G12
G13
G14
Creative Commons License: 
cc-by-nc-sa Logo
Document Type: 
Article

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