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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 Date2016
Citation
Review of Finance, 2016, v. 20 n. 5, p. 1911-1943 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
ISSN
2021 Impact Factor: 5.059
2020 SCImago Journal Rankings: 4.933
ISI Accession Number ID

 

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.issued2016-
dc.identifier.citationReview of Finance, 2016, v. 20 n. 5, p. 1911-1943-
dc.identifier.issn1572-3097-
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.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1093/rof/rfv052-
dc.identifier.scopuseid_2-s2.0-84987652805-
dc.identifier.hkuros259252-
dc.identifier.volume20-
dc.identifier.issue5-
dc.identifier.spage1911-
dc.identifier.epage1943-
dc.identifier.eissn1573-692X-
dc.identifier.isiWOS:000383725100007-

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