• DocumentCode
    1697669
  • 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
  • fYear
    2012
  • Firstpage
    1
  • Lastpage
    5
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Computational Intelligence for Financial Engineering & Economics (CIFEr), 2012 IEEE Conference on
  • Conference_Location
    New York, NY
  • ISSN
    PENDING
  • Print_ISBN
    978-1-4673-1802-0
  • Electronic_ISBN
    PENDING
  • Type

    conf

  • DOI
    10.1109/CIFEr.2012.6327817
  • Filename
    6327817
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1697669