The price impact of options and futures volume in after-hours stock market trading

Chuang-Chang Chang, Pei-Fang Hsieh () and Hung-Neng Lai

Pacific-Basin Finance Journal, 2013, vol. 21, issue 1, 984-1007

Abstract: We set out in this study to investigate the price impacts of options and futures trading prior to the stock market opening. Our findings indicate clustering by a high proportion of informed traders during the ‘pre-open’ period, with their options and futures trading volume being found to have significant influences on price changes. The evidence from our focus on this specific trading period suggests that in both the options and futures markets, institutional investors are more sophisticated than other traders. The trading behavior of these informed traders adds support to the ‘stealth-trading’ hypothesis, particularly in the futures market.

Keywords: Price impact; Informed traders; Options volume; Futures volume; After-hours trading (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:21:y:2013:i:1:p:984-1007

DOI: 10.1016/j.pacfin.2012.07.002

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