The price impact of futures trades and their intraday seasonality

The directional information content of options volumes

“…Equity traders are considered informed only when they acquire private or inside information about individual companies, whereas index options traders can be considered informed when they are more skilled at processing information in response to market‐wide and macroeconomic news or at interpreting public information quickly and accurately (Ryu, ; Ryu & Yang, ; Yang, Lee, & Ryu, ). Information superiority tends to disappear faster (i.e., be shorter‐lived) in index derivatives markets than in equity markets (Ryu, ; Webb, Ryu, Ryu, & Han, ), in which traders tend to sustain superiority based on private information for a relatively long time. Most importantly, studies of derivatives markets in emerging economies have a critical advantage in terms of the information qualities of the datasets used .…”

Time‐series momentum in China's commodity futures market

“…In this study, we construct a cross-sectional momentum strategy following 5 The dominance of speculative trading seems to be a common phenomenon observed in Asia's emerging futures markets. Many recent studies report the dominance of speculative trading in the Asian futures markets, including the Korean and Taiwanese futures markets (Atilgan, Demirtas, & Simsek, 2016;Chou, Wang, & Wang, 2015;Han, Hwang, & Ryu, 2015;Lee, Lee, & Ryu, 2019;Ryu, 2011Ryu, , 2013Ryu, , 2015Webb, Ryu, Ryu, & Han, 2016), which are closely related to the Chinese futures markets in terms of geography, trading activities, and investor compositions. Asness et al (2013) methodology, which compares and ranks the returns of the instruments over the past 12 months.…”

Option Market Characteristics and Price Monotonicity Violations

“…Panels B and C of Table III indicate whether a significant change in violation rates occurs before and after the recent market reform. Though the underlying spot price changes in response to a shock, option prices often change slowly and partially reflect the shock, indicating that spot trading can be more informative than options trading and that information spillover occurs from the underlying market to the option markets Ryu, 2015a;Webb, Ryu, Ryu, & Han, 2016). 14 This finding suggests that the fundamental factors generating the violations remain unchanged after the market reform; we thus focus on the results based on the entire sample.…”