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    National Tsing Hua University Institutional Repository > 科技管理學院  > 計量財務金融學系 > 會議論文 >  Information Content of Options Trading Volume for Future Volatility: Evidence from the Taiwan Options Market

    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62030

    Title: Information Content of Options Trading Volume for Future Volatility: Evidence from the Taiwan Options Market
    Authors: Chuang-Chang Chang;Pei-Fang Hsieh;Yaw-Huei Wang
    教師: 謝佩芳
    Date: 2008
    Publisher: UNSW Australian School of Business
    Relation: The 21st Australasian Finance and Banking Conference, UNSW Australian School of Business,December 2008, Sydney Australasia
    Keywords: Information Conten
    Options Trading Volume
    Future Volatility
    Taiwan Options Market
    Abstract: This study follows the approach of Ni, Pan and Poteshman (2007) - based upon the vega-weighted net demand for volatility - to determine whether volatility information exists within the Taiwan options market. On a market aggregation basis, the volatility demand compiled from the overall, close, strangle and options/futures trading volume provides some degree of predictive power for future realized volatility within the TAIEX, while we find no evidence to support the predictive ability of the volatility demand from straddle trades, despite the widespread acknowledgement that such trades are sensitive to volatility. From an exploration of the trading volume for various categories of traders, we find that different categories of traders use different trading strategies to realize their volatility information. In particular, the strongest and most direct prediction is made by the volatility demand from foreign institutional traders compiled from the delta-neutral options/futures trades.
    URI: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1158181&
    Appears in Collections:[計量財務金融學系] 會議論文

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