Articoli correlati a Options and Market Efficiency: A Big Data Approach

Options and Market Efficiency: A Big Data Approach - Brossura

Bhattacharya, Rajeev R.

 
9786200532282: Options and Market Efficiency: A Big Data Approach
Brossura
ISBN 10: 6200532281 ISBN 13: 9786200532282
Casa editrice: LAP LAMBERT Academic Publishing, 2020

Sinossi

I use five separate measures of deviation from Put-Call Parity of options on a stock without splits or dividends as separate negative measures for efficiency of the market ecosystem consisting of the underlying stock, derivatives, and risk-free securities. I develop a theory of trading volume as a function of short sales costs, dispersion of investor valuations, float, and transaction costs, and that of market efficiency as a function of trading volume and number of analysts covering the stock. I use Three-Stage Least Squares (3SLS) to estimate this structural system, separately for Nasdaq and non-Nasdaq U.S. stocks, over 1996-2015. I find, contrary to much previous theoretical and empirical work, that the impact of short sales costs & constraints on market efficiency is not significantly negative and that the impact of trading volume on market efficiency is not significantly positive.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Editore
LAP LAMBERT Academic Publishing
Data di pubblicazione
2020
Lingua
Inglese
ISBN 10 
6200532281
ISBN 13 
9786200532282
Rilegatura
Copertina flessibile
Numero di pagine
88
Contatto del produttore
non disponibile
Persona responsabile
KreGa Onlinehandel GmbH
4950000000000
info@krega-onlinehandel.de

Birkenweg 31
Brakel
33034
Germania