Information, Alternative Markets, and Security Price Processes: A Survey of Literature

Rafiqul Bhuyan

Finance from EconWPA

Abstract: In this paper, we survey a wide range of theoretical and empirical papers on derivatives markets to address the information contents of trading activities in derivatives markets. Both theoretical and empirical research on options market and futures market indicate that the presence of alternative markets may be a factor for informed traders' presence in one of or in both markets to trade on their information. One group of researchers support the hypothesis that information reflects in derivatives market first and underlying stock market lags in information transmission. Another group of researchers support the hypothesis that information reflects in stock markets first and trading activities in derivatives markets are not significant. Since researchers are not in agreement in this issue, it raises a potential for further research on different activities of derivatives market.

Keywords: Open Interest; Volume; Market Efficiency; Information Traders. (search for similar items in EconPapers)
JEL-codes: G11 G13 C31 C51 C52 C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn, nep-fin, nep-fmk and nep-rmg
Date: 2002-11-17
Note: Type of Document - word; prepared on IBM PC; to print on HP/PostScript/Franciscan monk; pages: 45 ; figures: No figures. It is a survey of literature on alternative markets. No such survey exists in the current literature. But is quite useful to have one.
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0211002

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