Bid–ask spread and liquidity searching behaviour of informed investors in option markets
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DOI: 10.1016/j.frl.2017.10.025
Abstract: Abstract We show evidence of a liquidity searching behaviour of informed investors in option listings, which was also found by Collin-Dufresne and Fos (2015) using stock markets. Nevertheless, and differently from Collin-Dufresne and Fos (2015),… read more here.
Keywords: liquidity; option; behaviour informed; liquidity searching ... See more keywords