Determinants of large stock price movements: a perspective from the options market

buir.advisorSavaşer, Tanseli
dc.contributor.authorÇelik, Duygu
dc.date.accessioned2018-01-16T12:52:41Z
dc.date.available2018-01-16T12:52:41Z
dc.date.copyright2017-12
dc.date.issued2017-12
dc.date.submitted2018-01-16
dc.departmentDepartment of Managementen_US
dc.descriptionCataloged from PDF version of article.en_US
dc.descriptionThesis (M.S.): Bilkent University, Department of Management, İhsan Doğramacı Bilkent University, 2017.en_US
dc.descriptionIncludes bibliographical references (leaves 45-48).en_US
dc.description.abstractI empirically investigate the information role of trading volume of call and put options on large stock price movements. I define two variables -crash and jump- to indicate large stock price movements with respect to average return of previous 60- months for each company. Moreover, I use price-based measures and O/S ratio to indicate informed traders in the options market. The sample consists of comprehensive monthly U.S. options and stock market dataset, for 2778 individual firms, which spans the period between 1996 to 2015. I find that volume of put and call options has information about large negative movement in contrast to previous literature both before a jump and a crash. Specifically, before a crash, investors prefer to buy out-of-money put options. Moreover, put volume has a higher predictive power than call volume on crash variable. Before a jump, investors become reluctant to trade in options market. These results document that investors behave asymmetrically before good and bad news.en_US
dc.description.degreeM.B.Aen_US
dc.description.statementofresponsibilityby Duygu Çelik.en_US
dc.format.extentix, 48 leaves : charts ; 30 cmen_US
dc.identifier.itemidB157370
dc.identifier.urihttp://hdl.handle.net/11693/35737
dc.language.isoEnglishen_US
dc.publisherBilkent Universityen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectAsymmetric Investor Behavioren_US
dc.subjectFuture Stock Price Movementen_US
dc.subjectImplied Volatilityen_US
dc.subjectInformed Tradersen_US
dc.subjectOptions Marketen_US
dc.titleDeterminants of large stock price movements: a perspective from the options marketen_US
dc.title.alternativeBüyük hisse senedi fiyat hareketlerinin belirleyicileri: opsiyon piyasasından bir perspektifen_US
dc.typeThesisen_US
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