Effect of Trader Behavior and Trade Duration on Price Volatility: Evidence from the TXO Options Market

摘要

Because relatively few studies have examined the behaviors of different trader types in the options market, this investigation conducts the 1st empirical study examining the influence of trader type on price volatility in the TXO options market. This study examined these issues in the option market because of the belief that informed investors might choose to trade options because of their higher leverage, which makes them attractive to speculators seeking to benefit from variations in the underlying price. This study applies the ACD model to capture the expected trading durations in the TXO options market, and includes trader type behaviors to examine their effect on volatility in the TXO option market using the ACD-GARCH model.