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- Publisher Website: 10.1093/rof/rfv052
- Scopus: eid_2-s2.0-84987652805
- WOS: WOS:000383725100007
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Article: How Do Short-Sale Costs Affect Put Options Trading? Evidence from Separating Hedging and Speculative Shorting Demands
Title | How Do Short-Sale Costs Affect Put Options Trading? Evidence from Separating Hedging and Speculative Shorting Demands |
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Authors | |
Issue Date | 2016 |
Citation | Review of Finance, 2016, v. 20 n. 5, p. 1911-1943 How to Cite? |
Abstract | We 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 Identifier | http://hdl.handle.net/10722/227462 |
ISSN | 2023 Impact Factor: 5.6 2023 SCImago Journal Rankings: 7.769 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Lin, TC | - |
dc.contributor.author | Lu, X | - |
dc.date.accessioned | 2016-07-18T09:10:52Z | - |
dc.date.available | 2016-07-18T09:10:52Z | - |
dc.date.issued | 2016 | - |
dc.identifier.citation | Review of Finance, 2016, v. 20 n. 5, p. 1911-1943 | - |
dc.identifier.issn | 1572-3097 | - |
dc.identifier.uri | http://hdl.handle.net/10722/227462 | - |
dc.description.abstract | We 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.language | eng | - |
dc.relation.ispartof | Review of Finance | - |
dc.title | How Do Short-Sale Costs Affect Put Options Trading? Evidence from Separating Hedging and Speculative Shorting Demands | - |
dc.type | Article | - |
dc.identifier.email | Lin, TC: chunlin@hku.hk | - |
dc.identifier.authority | Lin, TC=rp01077 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1093/rof/rfv052 | - |
dc.identifier.scopus | eid_2-s2.0-84987652805 | - |
dc.identifier.hkuros | 259252 | - |
dc.identifier.volume | 20 | - |
dc.identifier.issue | 5 | - |
dc.identifier.spage | 1911 | - |
dc.identifier.epage | 1943 | - |
dc.identifier.eissn | 1573-692X | - |
dc.identifier.isi | WOS:000383725100007 | - |