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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 >  The Intraday Behavior of Information Misreaction across Investor Categories in the Taiwan Options Market

    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62036

    Title: The Intraday Behavior of Information Misreaction across Investor Categories in the Taiwan Options Market
    Authors: Chuang-Chang Chang;Pei-Fang Hsieh;Chih-Wei Tang;Yaw-Huei Wang
    教師: 謝佩芳
    Date: 2010
    Publisher: 國立臺灣大學財務金融學系
    Relation: National Taiwan University International Conference on Finance, 國立臺灣大學財務金融學系,December 2010, National Taiwan University, Taiwan
    Keywords: Options
    Stochastic volatility
    Instantaneous variance
    Abstract: Following the analysis framework of Poteshman (2001), we use a unique dataset including the complete history of all transactions in the Taiwan options market to investigate the patterns of investor misreaction from the marketwise observations and the transactions of four different investor categories. Overall, investors initiate their reaction to unexpected information from short-horizon options and then adjust their positions in long-horizon options with a certain degree of delay because of the liquidity concern. Both of short- and long-horizon reactions are insufficient. lthough
    investor misreaction tends to increase in the quantity of previous similar unexpected shocks, the misreaction to the current unexpected shocks still dominates the effect of increasing misreaction. The comparison for alternative investor categories shows that foreign institutional investors have the lowest degree of misreaction and institutional investors correct their misreaction more promptly.
    URI: http://www.fin.ntu.edu.tw/~conference/conference2010/proceedings/proceeding/2/2-3%20A234.pdf
    Appears in Collections:[計量財務金融學系] 會議論文

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