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Applied Economics Letters Volume 27, 2020 - Issue 1
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Articles

Vega-informed trading and options market reform

Doojin RyuCollege of Economics, Sungkyunkwan University, Seoul, KoreaView further author information
,
Doowon RyuKorea University Business School, Seoul, KoreaORCID Iconhttps://orcid.org/0000-0003-3625-817XView further author information
ORCID Icon &
Heejin YangDepartment of Global Economics and Commerce, Dongguk University Gyeongju Campus, Gyeongsangbuk-do, KoreaCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0003-2479-459XView further author information
ORCID Icon
Pages 19-24 | Published online: 25 Apr 2019

References

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  • Gharghori, P., E. D. Maberly, and A. Nguyen. 2017. “Informed Trading around Stock Split Announcements: Evidence from the Option Market.” Journal of Financial and Quantitative Analysis 52 (2): 705–735. doi:10.1017/S0022109017000023.
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  • Rourke, T. 2014. “The Delta-And Vega-Related Information Content of Near-The-Money Option Market Trading Activity.” Journal of Financial Markets 20: 175–193. doi:10.1016/j.finmar.2014.01.002.
  • Ryu, D. 2015. “The Information Content of Trades: An Analysis of KOSPI 200 Index Derivatives.” Journal of Futures Markets 35 (3): 201–221. doi:10.1002/fut.21637.
  • Ryu, D., and H. Yang. 2018. “The Directional Information Content of Options Volumes.” Journal of Futures Markets 38 (12): 1533–1548. doi:10.1002/fut.21960.
  • Ryu, D., and H. Yang. 2019. “Who Has Volatility Information in the Index Options Market?” Finance Research Letters. doi:10.1016/j.frl.2018.10.008.
  • Yang, H., H. S. Choi, and D. Ryu. 2017. “Option Market Characteristics and Price Monotonicity Violations.” Journal of Futures Markets 37 (5): 473–498. doi:10.1002/fut.21826.
  • Yang, H., D. Ryu, and D. Ryu. 2018. “Market Reform and Efficiency: The Case of KOSPI200 Options.” Emerging Markets Finance and Trade 54 (12): 2687–2697. doi:10.1080/1540496X.2018.1496424.

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