Photo by neom from unsplash
In several countries, classical options markets coexist with markets for bank-issued options, also termed warrants. It is an open question if warrant issuers purely adopt options market information about future… Click to show full abstract
In several countries, classical options markets coexist with markets for bank-issued options, also termed warrants. It is an open question if warrant issuers purely adopt options market information about future volatility or if they contribute to volatility discovery by their own. As a result, the options market is in a clear informational leadership with an information share highly significant above 0.5. Nevertheless, the aggregated warrants market also contributes to volatility discovery with an information share significantly different from zero. Considering the volatility quoting behavior of issuers, we find a possible strategy of warrants issuers exploiting intra-day investors.
Journal Title: Journal of Futures Markets
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!