Browsing by Author "Omole, John"

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Open Access
Information content of order imbalance in the index options market
(Elsevier BV, 2021-12-12) Şensoy, Ahmet; Omole, John
We use proprietary transaction level data of Borsa Istanbul to compute the order imbalance of index options in order to investigate the linkages between option trades and spot index returns. Our findings show that weeks with higher call (put) order imbalance are associated with higher (lower) contemporaneous spot index returns. In addition, higher call order imbalance significantly predicts negative next-week index returns. The spot index return predictability by call options is absorbed neither by the stock order imbalance nor the index futures imbalance. Indeed, this predictability is consistent with the view that the hedging demand of counterparties in the option market that leads to the transfer of order imbalance from option market to stock market is the driver of predictability. Results are robust after controlling for various factors.
Open Access
Order imbalance and commonality: Evidence from the options market
(Borsa Istanbul Anonim Sirketi, 2022-01) Omole, John; Şensoy, Ahmet; Gulay, Guzhan
Using a market model and principal component analysis, we investigate the existence of common effects in order imbalance in the Borsa Istanbul's option market. Accordingly, we find the presence of commonality in order imbalance for call options and an even more dominant presence in put options. We investigate the impact of this commonality on the underlying equity market's price discovery; however, the results indicate no significant impact. Our results suggest that, from the order imbalance perspective, equity order imbalance contributes more than options to explaining stock return variations. © 2021 The Authors
Open Access
Other people's money: A comparison of institutional investors
(Elsevier, 2022-12) Eraslan, V.; Omole, John; Sensoy, Ahmet; Ozdamar, Melisa
Using unique equity ownership data, we investigate the stock picking preferences and return forecasting performances of institutional investors that manage their own money against those that manage others’. We reveal that these investors’ preferences significantly differ in historical patterns, liquidity and prudence when picking stocks. In particular, ‘own money managers’ display a risk-seeking behaviour whereas “others’ money managers” exhibit risk-averse characteristics. However, our results indicate that both types of investors are well informed, albeit own money managers excel in the short-term while others’ money managers are successful in the long-term.