This paper uses high frequency option data to investigate the information content of option trading of AH cross listed stocks (A-shares traded in mainland China and H-shares traded in Hong Kong) and the role of the Shanghai-Hong Kong Connect in this issue. Measuring the informed trading with order imbalance, we find that the order imbalance of stock options traded in Hong Kong contains incremental information that predicts the return of corresponding A-shares traded in Shanghai after controlling for the cross-market return and volume factors proposed by Gagnon and Karolyi (2009). More important, this predictive power strengthens after the Shanghai-Hong Kong Connect, which is also supported by the evidence of comparison between the two stock crashes exactly before and after the connection. During the 2015 stock crash, the spillover effect of the two markets is significantly stronger than that during the 2008 financial crisis.
Shihua Qin ;
Xingguo Luo ;
Xiaoli Yu ;
The Information Content of Option Trading: Evidence from AH cross-listing index and stocks （2022年08月14日）http://www.cfrn.com.cn//lw/zbsc/yszqlw/c1678d7bad1e4d3aa8f965dee2add6cb.htm