Order imbalance and commonality: Evidence from the options market

Using 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....

Ausführliche Beschreibung

Bibliographische Detailangaben
Hauptverfasser: John Omole, Ahmet Sensoy, Guzhan Gulay
Format: Artikel
Sprache:English
Veröffentlicht: Elsevier 2022-01-01
Schriftenreihe:Borsa Istanbul Review
Schlagworte:
Online Zugang:http://www.sciencedirect.com/science/article/pii/S2214845021000946