平仓级联与预期交易:来自结构性股票产品市场的证据

IF 2.2 Q2 BUSINESS, FINANCE Review of Asset Pricing Studies Pub Date : 2022-04-04 DOI:10.1093/rapstu/raac010

J. Auh, Wonho Cho

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引用次数: 1

摘要

我们表明，结构性股票衍生品可以造成显著的价格压力的基础股票在一个戏剧性的支付变化的事件。此外，一个事件导致另一个事件:事件级联放大了影响的程度。我们发现，单个事件在事件当天的回报率为-6.4%，它使后续事件的概率增加了21.3%。考虑到价格的负面影响，交易员们试图提前平仓，加剧了价格压力的程度。我们的研究结果揭示了复杂衍生品市场中的连锁反应和(错误)协调机制，这些机制可能引发实质性的价格冲击。

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Liquidation Cascade and Anticipatory Trading: Evidence from the Structured Equity Product Market

We show that structured equity derivatives can cause significant price pressure of the underlying stock upon an event of dramatic payoff change. Moreover, one event causes another: the event cascade amplifies the magnitude of the impact. We find that a single event accounts for a -6.4% return on the event day, and it increases the probability of a subsequent event by 21.3%. Given the negative price impact, traders try to liquidate ahead of each other, exacerbating the degree of price pressure. Our results uncover the chain-reaction and (mis)coordination mechanism in complex derivatives markets that can provoke substantial price shocks.

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.

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