Insiderhandel am Markt für Kaufoptionen (Teil I) | Eine empirische Studie

Insider Trading in the Call Options Market - An Empirical Study (Part I) Starting from the assumption that investors with an important piece of nonpublic information prefer dealing in options, this paper investigates for a sample of firms listed at the Frankfurter Wertpapierbörse whether there is some indication that call option prices lead stock prices. In the first part of this paper existing empirical studies of the relation between option and stock markets are categorized. The special approach of this study is then placed in one of the described categories. Further on the author discusses several arguments supporting the assumption that dealing in options is especially advantageous to insiders. For the later development of the test scenario and a meaningful interpretation of the test results it is also very important to discuss the factors that might determine the intensity of potential insider activity in the option market. At the end of this first part of the article the hypothesis of the study is specified in great detail. The statistical test and the test results will be described in the second part of the paper

Insiderhandel am Markt für Kaufoptionen (Teil II) | Eine empirische Studie

Insider Trading in the Call Options Market - An Empirical Study (Part II) Starting from the assumption that investors with an important piece of nonpublic information prefer dealing in options, this paper investigates whether there is some indication that call option prices lead stock prices. For a sample of firms listed at the Frankfurter Wertpapierbörse the null hypothesis is tested that there is no extraordinary overpricing (underpricing) of call options relative to their theoretical values during periods preceding intervals of positive (negative) abnormal performance in the stock market. This hypothesis of the study is specified in great detail in the first part of the paper. In the second part of the article the statistical test and the test results are described. For positive abnormal performance the null hypothesis can be rejected; this may be due to insiders buying calls in advance of expected stock price increases. This result does also not support the view that options trading has a destabilising impact on the underlying asset market. At the end of the paper possible further research using option market data from the Deutsche Terminbörse is discussed in detail