File Download

There are no files associated with this item.

  Links for fulltext
     (May Require Subscription)
Supplementary

Article: How Do Short-Sale Costs Affect Put Options Trading? Evidence from Separating Hedging and Speculative Shorting Demands

TitleHow Do Short-Sale Costs Affect Put Options Trading? Evidence from Separating Hedging and Speculative Shorting Demands
Authors
Issue Date2015
Citation
Review of Finance, 2015 How to Cite?
AbstractWe find that put options trading volume and bid-ask spreads both increase with equity lending fees. However, we also find that put options trading volume decreases with lending fees for banned stocks during the 2008 Short-Sale Ban period, when only options market makers could short. By separating the speculative demand of short sellers from the hedging demand of options market makers in the lending market, our results provide a thorough analysis of the interaction between the options market and the equity lending market. We also shed light on the substitutability/complementarity between put options volume and short interest shown in the literature.
Persistent Identifierhttp://hdl.handle.net/10722/227462

 

DC FieldValueLanguage
dc.contributor.authorLin, TC-
dc.contributor.authorLu, X-
dc.date.accessioned2016-07-18T09:10:52Z-
dc.date.available2016-07-18T09:10:52Z-
dc.date.issued2015-
dc.identifier.citationReview of Finance, 2015-
dc.identifier.urihttp://hdl.handle.net/10722/227462-
dc.description.abstractWe find that put options trading volume and bid-ask spreads both increase with equity lending fees. However, we also find that put options trading volume decreases with lending fees for banned stocks during the 2008 Short-Sale Ban period, when only options market makers could short. By separating the speculative demand of short sellers from the hedging demand of options market makers in the lending market, our results provide a thorough analysis of the interaction between the options market and the equity lending market. We also shed light on the substitutability/complementarity between put options volume and short interest shown in the literature.-
dc.languageeng-
dc.relation.ispartofReview of Finance-
dc.titleHow Do Short-Sale Costs Affect Put Options Trading? Evidence from Separating Hedging and Speculative Shorting Demands-
dc.typeArticle-
dc.identifier.emailLin, TC: chunlin@hku.hk-
dc.identifier.authorityLin, TC=rp01077-
dc.identifier.doi10.1093/rof/rfv052-
dc.identifier.hkuros259252-

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats