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| Tekijä: | Martikainen, T. Puttonen, V. |
| Otsikko: | Sequential information arrival in the Finnish stock index derivatives markets |
| Lehti: | European Journal of Finance
1996 : JUN, VOL. 2:2, p. 207-217 |
| Asiasana: | OPTIONS FUTURES MARKETS FINLAND |
| Kieli: | eng |
| Tiivistelmä: | This paper investigates the hypothesis of sequential information arrival in the Finnish stock index futures and options markets. With no short selling restrictions in the derivatives markets, no causality relationships between returns and trading volume are observed. However, by using the so-called call-put signal, based on call and put volumes, causality between returns and volume is found supporting the hypothesis of sequential information arrival. The article is of major interest to the specialists in future and option markets. |
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