The price impact of options and futures volume in after-hours stock market trading

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/105040

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/105040

Title:	The price impact of options and futures volume in after-hours stock market trading
Authors:	賴弘能;Chang, Chuang-Chang;Hsieh, Pei-Fang;Lai, Hung-Neng
Contributors:	管理學院財務金融學系
Keywords:	After-hours trading;Futures volume;Informed traders;Options volume;Price impact
Date:	2013-01-01
Issue Date:	2026-04-23 12:04:38 (UTC+8)
Publisher:	Elsevier;Elsevier B.V
Abstract:	摘要： We set out in this study to investigate the price impacts of options and futures trading prior to the stock market opening. Our findings indicate clustering by a high proportion of informed traders during the ‘pre-open’ period, with their options and futures trading volume being found to have significant influences on price changes. The evidence from our focus on this specific trading period suggests that in both the options and futures markets, institutional investors are more sophisticated than other traders. The trading behavior of these informed traders adds support to the ‘stealth-trading’ hypothesis, particularly in the futures market. ► We investigate the price impacts of options and futures trading prior to the stock market opening. ► ‘Pre-open’ volumes strongly affect price changes, suggesting informed traders clustering. ► In both markets, institutional investors are more sophisticated than other traders. ► The trading behavior of these informed traders adds support to the ‘stealth-trading’ hypothesis. 出版者： Elsevier B.V 出版日期： 2013-01 出處： Pacific-Basin finance journal, 2013-01, Vol.21 (1), p.984-1007 資源來源： ScienceDirect (Elsevier) Journals 版權： 2012 Elsevier B.V. 識別號： ISSN: 0927-538X 識別號： EISSN: 1879-0585 識別號： DOI: 10.1016/j.pacfin.2012.07.002
Appears in Collections:	[Department of Finance] journal & Dissertation

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML	14	View/Open

社群 sharing

Loading...