The dynamic relation between short sellers, option traders, and aggregate returns

Jared DeLisle, Bong Soo Lee and Nathan Mauck

MPRA Paper from University Library of Munich, Germany

Abstract: Contrary to existing event studies around option listing introductions, we show short selling and options trading are complements, rather than substitutes. Further, while a plethora of literature demonstrates both short sellers and option traders are informed traders, relatively little is known about which group is relatively more informed. The results of our dynamic tests indicate that options traders are relatively more informed and that short sellers are backward-looking. Our results support the claim that options markets are non-redundant.

Keywords: Short selling; options market; informed traders (search for similar items in EconPapers)
JEL-codes: G10 G12 G14 (search for similar items in EconPapers)
Date: 2012-11-10
New Economics Papers: this item is included in nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:42566

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