The dynamic relation between options trading, short selling, and aggregate stock returns

Jared DeLisle, Bong Soo Lee () and Nathan Mauck
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Bong Soo Lee: Florida State University

Review of Quantitative Finance and Accounting, 2016, vol. 47, issue 3, No 8, 645-671

Abstract: Abstract We examine the information contained in option trading and short selling using a dynamic VAR model. First, we address whether options and shorts are complements or substitutes. Contrary to existing event studies around option listing introductions, we show short selling and options trading are complements rather than substitutes. Second, we examine which group is relatively more informed. The results indicate that options traders are relatively more informed. Finally, we examine if options are redundant. Our results indicate that options markets are non-redundant.

Keywords: Short selling; Options market; Informed traders; Time series analysis (search for similar items in EconPapers)
JEL-codes: G12 G14 G17 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s11156-015-0516-2

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