Index options open interest and stock market returns

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This study finds that the growth of index options open interest has a significant relation with future stock market returns. We propose a theoretical model that considers hedgers and informed traders in the options market and suggests that hedgers fully utilize options according to their expectations of future stock returns. The empirical results show that the growth of out-of-the-money call options open interest is significantly related with future stock market returns. These findings provide supporting evidence for our theoretical model.
Publisher
WILEY
Issue Date
2020-06
Language
English
Article Type
Article
Citation

JOURNAL OF FUTURES MARKETS, v.40, no.6, pp.989 - 1010

ISSN
0270-7314
DOI
10.1002/fut.22095
URI
http://hdl.handle.net/10203/279383
Appears in Collection
MT-Journal Papers(저널논문)
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