期刊名称：Discussion Papers in Economics / Department of Economics, Royal Holloway
出版年度：2005
卷号：2005
出版社：University of London
摘要：A common contention is that more liquid financial contracts draw trading
volume from contracts for which they are close substitutes. This paper tests this
hypothesis by analyzing clustering of trading activity in DAX index options. Contracts
with identical maturities cluster around particular classes of strike prices.
For example, options with strikes ending on 50 are less traded than options with
strikes ending on 00. The degree of substitution between options with neighboring
strikes depends on the strike price grid and options’ characteristics. Our empirical
analysis finds a positive relation between clustering and substitutiability between
option contracts, providing support to the initial hypothesis.
关键词：Clustering; Incidental Truncation; Index Options; Volume
