El efecto del anuncio de beneficios cuando cotizan opciones: un estudio conjunto del mercado de contado y el mercado de opciones

Revista Europea de Dirección y Economía de la Empresa Pub Date : 2015-05-01 DOI:10.1016/j.redee.2014.06.002

Constantino José García Martín, Begoña Herrero Piqueras, Ana María Ibáñez Escribano

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引用次数: 2

Abstract

This study investigates the informational role of option trading in price discovery process around the dissemination of earnings news. The effect of options markets are examined first by analysing stock market reaction to earnings news conditional on the availability of option markets. Study methodology has been used and distribution functions compared. Option trading activity around the release of earnings news was then examined. Results show that, when option trading is available the option market enhances the price efficiency of equity markets. Moreover, the dissemination of earnings news is associated with a significant unusual activity in market option. The results support the improvement of the efficiency of equity markets after options listing, and that informed agents trade in options markets in order to take advantage of relevant company information.

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期权报价时宣布利润的影响:现货市场和期权市场的联合研究

本研究探讨了期权交易在收益新闻传播的价格发现过程中的信息作用。期权市场的影响首先通过分析股票市场对以期权市场可用性为条件的盈利消息的反应来检验。采用了研究方法并对分布函数进行了比较。然后研究了财报发布前后的期权交易活动。结果表明，当存在期权交易时，期权市场提高了股票市场的价格效率。此外，盈利消息的传播与市场期权的重大异常活动有关。研究结果支持期权上市后股票市场效率的提高，以及知情代理人在期权市场进行交易是为了利用相关公司信息。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Revista Europea de Dirección y Economía de la Empresa

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