Informed trading around merger and acquisitions announcements:evidence from the UK equity and options markets

Spyrou, Spyros and Tsekrekos, Andrianos and Siougle, Georgia (2011) Informed trading around merger and acquisitions announcements:evidence from the UK equity and options markets. Journal of Futures Markets, 31 (8). pp. 703-726. ISSN 0270-7314

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Abstract

This paper offers new evidence on informed trading around merger and acquisition announcements from the UK equity and options market. The analysis suggests that in about 25–33% of events there is abnormal option trading volume during the month that precedes the announcement. Such evidence is found in both call and put option volumes, is robust to different “estimation” and “event window” lengths, to different sub-samples, and to liquidity considerations. These results support the argument that informed investors will transact in both the options and the stock market, and are comparable to results reported by the FSA in the cash market.

Item Type:
Journal Article
Journal or Publication Title:
Journal of Futures Markets
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/1400/1402
Subjects:
ID Code:
64602
Deposited By:
Deposited On:
20 May 2013 08:58
Refereed?:
Yes
Published?:
Published
Last Modified:
17 Jun 2020 02:24