Information Asymmetry, Bid-Ask Spreads and Option Returns

摘要: This study analyses the information asymmetry at stock market considering two different types of flow. The first type represents changes in where informed traders know if price will increase or decrease. second is less specific - direction unknown, but that either flows are estimated within a GARCH framework, using shocks Swedish OMX-index returns and index option strangle respectively. results show significant conditional variance options returns, although with notable differences. exhibit high level persistence, an asymmetric initial impact return to (leverage effect). have relatively low higher (and more symmetric) shocks. A time series regression call put bid-ask spreads performed, relating these information, as well other explanatory variables. related returns. Hence, makers appear alter primarily response unexpected expected