Informational Role of Open Interest and Transaction Volume of Options: A Meta-Analytic Review

Avinash and T. Mallikarjunappa

FIIB Business Review, 2020, vol. 9, issue 4, 275-285

Abstract: The study examines the research literature pertaining to the informational content of open interest and transaction volume in a systematic manner. Our review upheld their informational role in estimating the price of the underlying stock in future, in predicting future volatility and in ascertaining the market behaviour around corporate/macro-economic announcements with mixed directional effect. Further, through well-defined inclusion/exclusion criteria, we choose 38 research works to uncover the factors and conditions upon which open interest and transaction volume are more informative via meta-regression. The temporal and spatial factors indicate that open interest and transaction volume are more informative in an emerging market as compared to a developed market.

Keywords: Open interest; volume; non-price; options; informational content; meta-analysis (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/2319714520980662 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sae:fbbsrw:v:9:y:2020:i:4:p:275-285

DOI: 10.1177/2319714520980662

Access Statistics for this article

More articles in FIIB Business Review
Bibliographic data for series maintained by SAGE Publications ().