Order imbalance and commonality: Evidence from the options market

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buir.contributor.authorOmole, John
buir.contributor.authorŞensoy, Ahmet
buir.contributor.orcidOmole, John|0000-0002-6135-9039
buir.contributor.orcidŞensoy, Ahmet|0000-0001-7967-5171
dc.citation.epage11en_US
dc.citation.issueNumber1en_US
dc.citation.spage1en_US
dc.citation.volumeNumber22en_US
dc.contributor.authorOmole, John
dc.contributor.authorŞensoy, Ahmet
dc.contributor.authorGulay, Guzhan
dc.date.accessioned2023-02-27T16:52:07Z
dc.date.available2023-02-27T16:52:07Z
dc.date.issued2022-01
dc.departmentDepartment of Managementen_US
dc.description.abstractUsing 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 Authorsen_US
dc.identifier.doi10.1016/j.bir.2021.09.005en_US
dc.identifier.issn22148450
dc.identifier.urihttp://hdl.handle.net/11693/111845
dc.language.isoEnglishen_US
dc.publisherBorsa Istanbul Anonim Sirketien_US
dc.relation.isversionofhttps://dx.doi.org/10.1016/j.bir.2021.09.005en_US
dc.source.titleBorsa Istanbul Reviewen_US
dc.subjectBorsa Istanbulen_US
dc.subjectCommonalityen_US
dc.subjectOptions marketen_US
dc.subjectOrder flowen_US
dc.subjectOrder imbalanceen_US
dc.titleOrder imbalance and commonality: Evidence from the options marketen_US
dc.typeArticleen_US

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