Contract size changes in the options market: effects on market efficiency and investor behaviour

Seongkyu Park, Doojin Ryu

Research output: Journal article publicationJournal articleAcademic researchpeer-review

3 Citations (Scopus)

Abstract

We study options market participants’ trading behaviour before and after the options multiplier increases. After the options multiplier increases, the options market becomes more efficient. By analysing the high-frequency microstructure dataset, we show that local retail and local institutional investors who trade in both options and futures markets trade more after the change in the multiplier. Our results imply that the increase in the market efficiency may be caused by fewer speculators. In addition, lottery stocks are traded more actively after the options multiplier increase.

Original languageEnglish
Pages (from-to)6670-6682
Number of pages13
JournalApplied Economics
Volume53
Issue number57
DOIs
Publication statusPublished - 2021

Keywords

  • Account-level trade and quote data
  • index options
  • lottery stocks
  • options multiplier
  • retail investor

ASJC Scopus subject areas

  • Economics and Econometrics

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