Informed options trading around holidays
利用KOSPI 200指数期权的高频数据，发现节假日前后期权交易的信息含量增加，尤其是虚值看涨期权和平值看跌期权，且外国投资者的交易在节后信息含量更高。
Abstract We use a high‐quality microstructure data set of KOSPI 200 index options to examine the patterns of informed options trading around holidays, depending on options market characteristics. The information content of options trading increases around holidays, and this holiday effect is pronounced for out‐of‐the‐money calls and at‐the‐money puts. Informed large trades reinforce the holiday effects for out‐of‐the‐money call options. Foreign investors are generally informed, and their out‐of‐the‐money options trades are even more informed after holidays. Although domestic investors are less informed than their foreign competitors, their options trades seem to convey information both before and after holidays.