Munich Personal RePEc Archive

The dynamic relation between short sellers, option traders, and aggregate returns

Delisle, R. Jared and Lee, Bong Soo and Mauck, Nathan (2012): The dynamic relation between short sellers, option traders, and aggregate returns.

[img]
Preview
PDF
MPRA_paper_42566.pdf

Download (688kB) | Preview

Abstract

Contrary to existing event studies around option listing introductions, we show short selling and options trading are complements, rather than substitutes. Further, while a plethora of literature demonstrates both short sellers and option traders are informed traders, relatively little is known about which group is relatively more informed. The results of our dynamic tests indicate that options traders are relatively more informed and that short sellers are backward-looking. Our results support the claim that options markets are non-redundant.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.