Download or read book Trading Breaks and Asymmetric Information written by Guy Kaplanski and published by . This book was released on 2018 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: We find that weekend, holiday and overnight trading breaks generate excessive perceived risk in the option markets, presumably due to asymmetric information, which, in turn, encourages uninformed option traders to postpone trading. This perceived risk subsides after two days accompanied by an increase in the option trading volume and the underlying index's actual price volatility. These results shed light on the informational role of index options and suggest that the theoretical models' results regarding information processing and price discovery in the presence of private information are not limited to single stocks but also apply to the market as a whole.