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Synopsis
I use five separate measures of deviation from Put-Call Parity of options on a stock without splits or dividends as separate negative measures for efficiency of the market ecosystem consisting of the underlying stock, derivatives, and risk-free securities. I develop a theory of trading volume as a function of short sales costs, dispersion of investor valuations, float, and transaction costs, and that of market efficiency as a function of trading volume and number of analysts covering the stock. I use Three-Stage Least Squares (3SLS) to estimate this structural system, separately for Nasdaq and non-Nasdaq U.S. stocks, over 1996-2015. I find, contrary to much previous theoretical and empirical work, that the impact of short sales costs & constraints on market efficiency is not significantly negative and that the impact of trading volume on market efficiency is not significantly positive.
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Options and Market Efficiency: A Big Data Approach
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LAP LAMBERT Academic Publishing, 2020
ISBN 10: 6200532281
ISBN 13: 9786200532282
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Options and Market Efficiency: A Big Data Approach
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LAP LAMBERT Academic Publishing, 2020
ISBN 10: 6200532281
ISBN 13: 9786200532282
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Options and Market Efficiency
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LAP LAMBERT Academic Publishing, 2020
ISBN 10: 6200532281
ISBN 13: 9786200532282
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Options and Market Efficiency
Published by
LAP LAMBERT Academic Publishing, 2020
ISBN 10: 6200532281
ISBN 13: 9786200532282
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Options and Market Efficiency
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -I use five separate measures of deviation from Put-Call Parity of options on a stock without splits or dividends as separate negative measures for efficiency of the market ecosystem consisting of the underlying stock, derivatives, and risk-free securities. I develop a theory of trading volume as a function of short sales costs, dispersion of investor valuations, float, and transaction costs, and that of market efficiency as a function of trading volume and number of analysts covering the stock. I use Three-Stage Least Squares (3SLS) to estimate this structural system, separately for Nasdaq and non-Nasdaq U.S. stocks, over 1996-2015. I find, contrary to much previous theoretical and empirical work, that the impact of short sales costs & constraints on market efficiency is not significantly negative and that the impact of trading volume on market efficiency is not significantly positive. 88 pp. Englisch. Seller Inventory # 9786200532282
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Options and Market Efficiency
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Options and Market Efficiency (Paperback)
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Options and Market Efficiency
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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Bhattacharya Rajeev R.Professor Rajeev R. Bhattacharya, Ph.D., president of Washington Finance and Economics, is a finance professor at Johns Hopkins University and has served on the faculty of University of Maryland, Georgetown Univ. Seller Inventory # 385893361
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Options and Market Efficiency: A Big Data Approach
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Options and Market Efficiency: A Big Data Approach
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ISBN 13: 9786200532282
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