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What do we know about individual equity options?

Bernales, Alejandro, Verousis, Thanos, Voukelatos, Nikolaos, Zhang, Mengyu (2020) What do we know about individual equity options? Journal of Futures Markets, 40 (1). pp. 67-91. ISSN 0270-7314. E-ISSN 1096-9934. (doi:10.1002/fut.22066) (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided) (KAR id:76823)

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https://doi.org/10.1002/fut.22066

Abstract

This paper examines the empirical literature on individual equity options, discussing results in areas of consensus, showing findings in areas of disagreement and providing a guide for future research (especially highlighting analyses that cannot be performed with index options). Key topics include the impact of equity option listings on the underlying stock market, option market efficiency, anomalies in equity option returns, option market microstructure, investors' behavioural biases, option price discovery and private information revealed in equity option markets. Some directions for future research include the determinants of equity option returns and the effect of algorithmic trading in option markets.

Item Type: Article
DOI/Identification number: 10.1002/fut.22066
Uncontrolled keywords: Equity options, empirical studies, literature survey
Subjects: H Social Sciences > HG Finance
Divisions: Divisions > Kent Business School - Division > Kent Business School (do not use)
Depositing User: Nikolaos Voukelatos
Date Deposited: 30 Sep 2019 10:38 UTC
Last Modified: 05 May 2021 03:12 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/76823 (The current URI for this page, for reference purposes)
Voukelatos, Nikolaos: https://orcid.org/0000-0001-8272-2901
Zhang, Mengyu: https://orcid.org/0000-0002-9699-1421
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