Information Content of Trading Volume:Evidence from the TXO Market
利用TXO市场详细交易数据，构建五分钟信息量指标，发现整体期权交易量无预测力，但国内外机构投资者的交易量及价外期权包含显著信息，可用于预测标的股票收益。
In this paper,we examine the informational content of option trading volume using the detailed transaction data in TXO market.We construct the five-minute informational volume indicators for the whole option market,the different type of investor and the different type of moneyness,and test their ability for predicting the underlying stock return.We find that option volume of the whole market almost has no predictive power,however, for domestic? institutional investors and? foreign institutional? investors,trading volume? contains? significant? information and the OTM options clearly contain much information than ITM options and ATM options.