Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Informed trading around merger and acquisitions announcements
T2 - evidence from the UK equity and options markets
AU - Spyrou, Spyros
AU - Tsekrekos, Andrianos
AU - Siougle, Georgia
PY - 2011/8
Y1 - 2011/8
N2 - This paper offers new evidence on informed trading around merger and acquisition announcements from the UK equity and options market. The analysis suggests that in about 25–33% of events there is abnormal option trading volume during the month that precedes the announcement. Such evidence is found in both call and put option volumes, is robust to different “estimation” and “event window” lengths, to different sub-samples, and to liquidity considerations. These results support the argument that informed investors will transact in both the options and the stock market, and are comparable to results reported by the FSA in the cash market.
AB - This paper offers new evidence on informed trading around merger and acquisition announcements from the UK equity and options market. The analysis suggests that in about 25–33% of events there is abnormal option trading volume during the month that precedes the announcement. Such evidence is found in both call and put option volumes, is robust to different “estimation” and “event window” lengths, to different sub-samples, and to liquidity considerations. These results support the argument that informed investors will transact in both the options and the stock market, and are comparable to results reported by the FSA in the cash market.
U2 - 10.1002/fut.20491
DO - 10.1002/fut.20491
M3 - Journal article
VL - 31
SP - 703
EP - 726
JO - Journal of Futures Markets
JF - Journal of Futures Markets
SN - 0270-7314
IS - 8
ER -