Informed Trading in Stock and Option Markets
用改进的信息份额方法，基于60家公司五年的股票和期权数据，估算期权市场对价格发现的平均贡献约为17%，并分析其与交易量、价差和波动率的关系。
ABSTRACT We investigate the contribution of option markets to price discovery, using a modification of Hasbrouck's (1995) “information share” approach. Based on five years of stock and options data for 60 firms, we estimate the option market's contribution to price discovery to be about 17% on average. Option market price discovery is related to trading volume and spreads in both markets, and stock volatility. Price discovery across option strike prices is related to leverage, trading volume, and spreads. Our results are consistent with theoretical arguments that informed investors trade in both stock and option markets, suggesting an important informational role for options.