Bid–ask spread and liquidity searching behaviour of informed investors in option markets
Author
dc.contributor.author
Bernales Silva, Alejandro
Author
dc.contributor.author
Canon, Carlos
Author
dc.contributor.author
Verousis, Thanos
Admission date
dc.date.accessioned
2018-11-09T13:33:35Z
Available date
dc.date.available
2018-11-09T13:33:35Z
Publication date
dc.date.issued
2018-06
Cita de ítem
dc.identifier.citation
Finance Research Letters Volumen: 25 Páginas: 96-102
es_ES
Identifier
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10.1016/j.frl.2017.10.025
Identifier
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https://repositorio.uchile.cl/handle/2250/152535
Abstract
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We show evidence of a liquidity searching behaviour of informed investors in option listings, which was also found by Collin-Dufresne and Fos (2015) using stock markets. Nevertheless, and differently from Collin-Dufresne and Fos (2015), we find that the option bid-ask spread may be still a good proxy for informed trading, despite of the liquidity searching behaviour of informed agents. We show an upward trend in the option bid-ask spread after option introductions (as informed traders avoid trading in initial periods after listing dates due to the low liquidity environment), which is steeper for options with high chances of information asymmetries.