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- W2093589184 abstract "This paper explains the lack of general consensus in previous studies on the direction of information flow between stocks and derivatives markets. We assume that informed traders do not develop absolute preference for one market; rather they react to private information as case by case. We provide theoretical and empirical proofs to validate this hypothesis. While deciding where trading, informed traders are attracted by higher liquidity and less transactions costs in spot market, and leverage effect offered by options market. We find that the use of leverage effect, which can largely compensate transactions costs and liquidity lack, depends on exceeding critical value of confidence in anticipation expressed as function of option value elasticity with respect to the underlying asset's price. We conclude that information flow between the stock and option markets depends on informed traders' confidence in anticipation based on private information quality and informed traders psychologies and abilities." @default.
- W2093589184 created "2016-06-24" @default.
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- W2093589184 date "2015-01-01" @default.
- W2093589184 modified "2023-09-25" @default.
- W2093589184 title "Information flow between derivatives and spot market; the reason of studies results divergence" @default.
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- W2093589184 doi "https://doi.org/10.1504/ijmef.2015.069167" @default.
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