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....
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2022-01-01
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| Series: | Borsa Istanbul Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845021000946 |