Abstract
AbstractWe examine the intraday price discovery role of the Shanghai Stock Exchange 50 exchange‐traded fund options using transaction‐level data. Contemporaneous options trading volumes have significant and permanent price impacts on futures returns, implying that some options traders are informed. The permanent price impacts of large options trades are much greater than those of small trades. We also find that liquidity changes due to regulatory policies affect the options market's informational role. Transactions generally convey less information during special trading sessions, including post‐break and closing sessions, perhaps because informed investors prefer to hide behind high liquidity.
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