Matches in SemOpenAlex for { <https://semopenalex.org/work/W2143144448> ?p ?o ?g. }
Showing items 1 to 72 of
72
with 100 items per page.
- W2143144448 abstract "We empirically investigate the relation between daily activity in the underlying stock and option liquidity for firms included in the German DAX index and with options traded on the electronic exchange EUREX. By means of regression analyses we identify the major determinants of transaction-based and order-based option liquidity. We find that the transaction volume of the underlying stock is indeed a major determinant of transaction-based liquidity in the options market, whereas contrary to standard intuition, return volatility does not consistently exhibit a significant impact. On the other hand short-term measures of uncertainty, represented by the positive and negative parts of stock returns and their lagged values, are important explanatory factors. Order-based liquidity seems to be harder to model than transaction-based liquidity. The negative return part is a common factor influencing both spread and depth variables, while volatility overall significantly increases option market depth. As an important contribution to the empirical literature on option market liquidity, we provide separate regressions for buyer and seller initiated transactions. It becomes clear that especially the relation between stock returns and transaction-based liquidity is asymmetric with respect to option purchases and sales. Call purchases increase with positive returns and decrease on days with negative returns, while put purchases behave exactly the opposite way. However, both call and put sales increase on days with large positive or negative returns." @default.
- W2143144448 created "2016-06-24" @default.
- W2143144448 creator A5029044276 @default.
- W2143144448 creator A5088740838 @default.
- W2143144448 date "2004-01-01" @default.
- W2143144448 modified "2023-10-10" @default.
- W2143144448 title "An Empirical Analysis of the Relation Between Option Market Liquidity and Stock Market Activity" @default.
- W2143144448 cites W1495656322 @default.
- W2143144448 cites W1499305815 @default.
- W2143144448 cites W190496867 @default.
- W2143144448 cites W1970804135 @default.
- W2143144448 cites W1979846182 @default.
- W2143144448 cites W2003268269 @default.
- W2143144448 cites W2032207494 @default.
- W2143144448 cites W2044121314 @default.
- W2143144448 cites W2065559635 @default.
- W2143144448 cites W2135033006 @default.
- W2143144448 cites W2140268443 @default.
- W2143144448 cites W2149749798 @default.
- W2143144448 cites W2156361014 @default.
- W2143144448 cites W2157495061 @default.
- W2143144448 cites W2160921162 @default.
- W2143144448 cites W2162932778 @default.
- W2143144448 cites W2167759315 @default.
- W2143144448 cites W3123129688 @default.
- W2143144448 cites W3123299477 @default.
- W2143144448 cites W3123899576 @default.
- W2143144448 doi "https://doi.org/10.2139/ssrn.493502" @default.
- W2143144448 hasPublicationYear "2004" @default.
- W2143144448 type Work @default.
- W2143144448 sameAs 2143144448 @default.
- W2143144448 citedByCount "7" @default.
- W2143144448 countsByYear W21431444482016 @default.
- W2143144448 countsByYear W21431444482021 @default.
- W2143144448 crossrefType "journal-article" @default.
- W2143144448 hasAuthorship W2143144448A5029044276 @default.
- W2143144448 hasAuthorship W2143144448A5088740838 @default.
- W2143144448 hasConcept C106159729 @default.
- W2143144448 hasConcept C144133560 @default.
- W2143144448 hasConcept C162324750 @default.
- W2143144448 hasConcept C166957645 @default.
- W2143144448 hasConcept C183582576 @default.
- W2143144448 hasConcept C205649164 @default.
- W2143144448 hasConcept C2779343474 @default.
- W2143144448 hasConcept C2780299701 @default.
- W2143144448 hasConcept C556758197 @default.
- W2143144448 hasConceptScore W2143144448C106159729 @default.
- W2143144448 hasConceptScore W2143144448C144133560 @default.
- W2143144448 hasConceptScore W2143144448C162324750 @default.
- W2143144448 hasConceptScore W2143144448C166957645 @default.
- W2143144448 hasConceptScore W2143144448C183582576 @default.
- W2143144448 hasConceptScore W2143144448C205649164 @default.
- W2143144448 hasConceptScore W2143144448C2779343474 @default.
- W2143144448 hasConceptScore W2143144448C2780299701 @default.
- W2143144448 hasConceptScore W2143144448C556758197 @default.
- W2143144448 hasLocation W21431444481 @default.
- W2143144448 hasOpenAccess W2143144448 @default.
- W2143144448 hasPrimaryLocation W21431444481 @default.
- W2143144448 hasRelatedWork W1968267998 @default.
- W2143144448 hasRelatedWork W2390443942 @default.
- W2143144448 hasRelatedWork W2507746587 @default.
- W2143144448 hasRelatedWork W2560164965 @default.
- W2143144448 hasRelatedWork W2772369636 @default.
- W2143144448 hasRelatedWork W2898541182 @default.
- W2143144448 hasRelatedWork W3014248727 @default.
- W2143144448 hasRelatedWork W3121421356 @default.
- W2143144448 hasRelatedWork W3122148297 @default.
- W2143144448 hasRelatedWork W3123239608 @default.
- W2143144448 isParatext "false" @default.
- W2143144448 isRetracted "false" @default.
- W2143144448 magId "2143144448" @default.
- W2143144448 workType "article" @default.