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- W96759936 abstract "There have been few studies of informed trading in the Australian environment. This research is the first to examine informed trading using the options market prior to the release of a takeover rumour by the media. In particular, I examine the behaviour of firms' option volume and level of open interest on event periods prior to a rumour date. With a sample of 29 firms, for a period of 7 years from 1999 through to 2005, I find no significance of abnormal volume and open interest on event period -10 to -1 days relative to the rumour date for both calls and puts. However, the call and put volume during event period -30 to -1 days relative to the rumour date is significantly greater than the benchmark. As suggested by Karpoff (1986), the abnormality of volume indicates the presence of investors anticipating before the release of information. Thus, by just emphasizing volume, we could conclude the presence of informed trading. Despite the abnormal volume of both calls and puts during the event period -30 to -1, the level of open interest shows no significant abnormality. Therefore, instead of informed trading being present, the results indicate these heavy trading is made by day traders." @default.
- W96759936 created "2016-06-24" @default.
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- W96759936 date "2006-01-01" @default.
- W96759936 modified "2023-09-27" @default.
- W96759936 title "Informed trading on the options market prior to takeover rumours : an Australian perspective" @default.
- W96759936 hasPublicationYear "2006" @default.
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