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PID2021-125317NB-I00

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INVERSORES SOFISTICADOS, NEGOCIACION INFORMADA Y ESTABILIDAD DE LOS MERCADOS

THIS PROPOSAL ANALYSES THE INFORMATION CONTENT OF THE POSITIONS OF SOPHISTICATED INVESTORS (SFS) AND THEIR IMPACT ON FINANCIAL MARKETS. SFS ARE THOSE WHO HAVE DEEPER MARKET KNOWLEDGE AND EXPERIENCE THAN OTHER MARKET AGENTS (EASLEY... ver más

01/01/2021

UIB

116K€

Presupuesto del proyecto: 116K€

Líder del proyecto

UNIVERSIDAD DE LAS ISLAS BALEARES No se ha especificado una descripción o un objeto social para esta compañía.

Total investigadores 20

Fecha límite participación Sin fecha límite de participación.

Financiación concedida El organismo AGENCIA ESTATAL DE INVESTIGACIÓN notifico la concesión del proyecto el día 2021-01-01 No tenemos la información de la convocatoria

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Este proyecto no cuenta con búsquedas de partenariado abiertas en este momento.

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UIB

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Líder del proyecto

UNIVERSIDAD DE LAS ISLAS BALEARES No se ha especificado una descripción o un objeto social para esta compañía.

Total investigadores 20

Presupuesto del proyecto 116K€

Fecha límite de participación Sin fecha límite de participación.

Descripción del proyecto THIS PROPOSAL ANALYSES THE INFORMATION CONTENT OF THE POSITIONS OF SOPHISTICATED INVESTORS (SFS) AND THEIR IMPACT ON FINANCIAL MARKETS. SFS ARE THOSE WHO HAVE DEEPER MARKET KNOWLEDGE AND EXPERIENCE THAN OTHER MARKET AGENTS (EASLEY ET AL., 1998). EXAMPLES OF SFS ARE OPTION TRADERS AND HIGH-FREQUENCY TRADERS (HFTS), AMONG OTHERS. SFS ARE NOT NECCESARILY INFORMED (FUNDAMENTAL) TRADERS. THEIR SKILLS CONFER THEM WITH A MORE EFFICIENT USE OF PUBLIC INFORMATION, LEADING TO A NEW TYPE OF MARKET AGENT WHO BENEFITS OF SIMILAR ADVANTAGES THAN THOSE WHO HAVE NON-PUBLIC INFORMATION. FOR INSTANCE, LEVERAGING IN THE OPTION MARKETS IS LESS COSTLY THAN IN STOCK MARKETS, SO SKILLED INVESTORS OF STOCK MARKETS MAY CHOOSE THE OPTION MARKETS TO INCREASE THE SIZE OF THEIR POSITIONS (PAN AND POTESHMAN, 2006). SAME APPLIES TO HFTS, WHO THEIR ABILITIES OF REACTING FASTER TO PUBLIC INFORMATION GIVES THEM AN ADVANTAGE THAT RESULTS IN A BETTER PERFORMANCE THAN OTHER MARKET PLAYERS (MENKELD, 2016).SFS PLAY A LEADING ROLE IN MODERN FINANCIAL MARKETS. FOR INSTANCE, THE AVERAGE DAILY NOTIONAL VALUE OF SINGLE-STOCK OPTION TRADES ($423 BILLION) HAS SURPASSED THE NOTIONAL VALUE OF STOCK TRADES ($404 BILLION) FOR THE FIRST TIME IN HISTORY IN 2021 (BANERJI, 2021). SIMILARLY, HFTS CONTRIBUTE A SIGNIFICANT PROPORTION OF GLOBAL MARKET VOLUME 55% OF VOLUME IN US EQUITIES (TABB GROUP, 2012); 24% TO 43% ACROSS EU VENUES (ESMA, 2014). GIVEN THEIR PROMINENT ROLE, IT IS IMPORTANT TO UNDERSTAND HOW SOPHISTICATED TRADERS AFFECT MARKETS. THE GENERAL PREMISE OF OUR PROPOSAL IS THAT THE SKILLS AND ABILITIES OF SFS CONFERE THEM WITH AN INFORMATIONAL ADVANTAGE THAT RESULTS IN A BETTER PERFORMANCE THAN OTHER MARKET PLAYERS. THE ORIGINALITY OF THE PROPOSAL RELIES ON ANALYZING THE IMPLICATIONS OF THIS INFORMATIONAL ADVANTAGE IN DIFFERENT AREAS OF FINANCE. IN PARTICULAR, WE STRUCTURE OUR PROPOSAL AROUND THREE LINES OF ANALYSIS: I) THE ASSET PRICING DOMAIN, WHERE WE EXAMINE HOW THE INFORMATION COLLECTED FROM OPTION MARKETS IMPROVES THE PERFORMANCE OF EXISTING ASSET PRICING MODELS AND, MORE BROADLY, OUR UNDERSTANDING OF STOCK PRICES; II) THE MONETARY POLICY DOMAIN, WHERE WE ASSESS UNCONVENTIONAL MONETARY POLICIES BASED ON FORWARD-LOOKING INFORMATION FROM INTERNATIONAL OPTION MARKETS; AND III) THE MARKET MICROSTRUCTURE DOMAIN, WHERE WE ANALYSE THE IMPACT OF HFT ACTIVITY ON THE DECISIONS OF INFORMED INVESTORS, IN PARTICULAR, THEIR CHOICE BETWEEN TRANSPARENT AND OPAQUE MARKETS AND ITS IMPLICATIONS ON THE PRICE FORMATION PROCESS.THE OBJECTIVES OF OUR PROPOSAL ARE RELEVANT FOR SEVERAL REASONS. FIRSTLY, THE INFORMATION EXTRACTED FROM THE POSITIONS OF SFS COULD PROVIDE A QUANTITATIVE AND MORE EFFICIENT ESTIMATE OF HOW AGENTS VALUE FUTURE STATES OF THE ECONOMY THROUGH, FOR INSTANCE, ARROW-DEBREU PRICES. SECONDLY, ITS ANALYSIS HELPS US TO UNDERSTAND THE PROCESS OF HOW INFORMATION IS INCORPORATED INTO PRICES, WHICH IS ESSENTIAL FOR THE MARKET TO EFFICIENTLY DETERMINE THE VALUE OF RESOURCES. NVERSORES SOFISTICADOS\CALIDAD DEL MERCADO\MERCADOS OPACOS\NEGOCIACION DE ALTA FRECUENCIA\VALORACION DE ACTIVOS\NEGOCIACION INFORMADA\MERCADOS DE OPCIONES

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