Articles liés à Options and Market Efficiency: A Big Data Approach

Options and Market Efficiency: A Big Data Approach - Couverture souple

Bhattacharya, Rajeev R.

 
9786200532282: Options and Market Efficiency: A Big Data Approach
Couverture souple
ISBN 10 : 6200532281 ISBN 13 : 9786200532282
Editeur : LAP LAMBERT Academic Publishing, 2020

Synopsis

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.

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Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2020
Langue
anglais
ISBN 10 
6200532281
ISBN 13 
9786200532282
Reliure
Broché
Nombre de pages
88
Coordonnées du fabricant
Buchpark GmbH
https://www.buchpark.de

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