Title :
Order aggressiveness of option market: Evidence from the 2008 credit crisis
Author :
Cheung, William M. ; Cheng, Conrad L.
Author_Institution :
Fac. of Bus. Adm., Univ. of Macau, Macau, China
Abstract :
This paper analyzes the order aggressiveness and order submission strategies in the Chicago Board Option Exchange (CBOE) during the 2008 credit crisis. Using an ordered probit analysis with a sample of 300 million observations, we find that the investors are aggressive when (i) longer the order processing time, and (ii) the narrower the spread.
Keywords :
stock markets; 2008 credit crisis; CBOE; Chicago board option exchange; option market; order aggressiveness; order processing time; order submission strategies; ordered probit analysis; Contracts; Educational institutions; Electric shock; Finance; Stock markets;
Conference_Titel :
Computational Intelligence for Financial Engineering & Economics (CIFEr), 2012 IEEE Conference on
Conference_Location :
New York, NY
Print_ISBN :
978-1-4673-1802-0
Electronic_ISBN :
PENDING
DOI :
10.1109/CIFEr.2012.6327817
