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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 Information Content of Options Trading: Evidence from the Taiwan Stock Exchange


    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62032


    Title: The Information Content of Options Trading: Evidence from the Taiwan Stock Exchange
    Authors: Chuang-Chang Chang,;Pei-Fang Hsieh;d Hung Neng Lai
    教師: 謝佩芳
    Date: 2008
    Publisher: Cass Business School
    Relation: The 2nd Emerging Markets Group Conference on Emerging Markets Finance,Cass Business School, May 2008, Cass Business School London, UK
    Keywords: Information
    Options Trading
    Evidence
    the Taiwan Stock Exchange
    Abstract: In this paper, we set out to investigate the information content of options trading using a unique dataset to examine the predictive power of the put and call positions of different types of traders in the TAIEX options market. We find that options volume, as a whole, carries no information on TAIEX spot index changes, essentially because the majority of trades originate from domestic institutional investors and individual investors; as such, they contain insignificant information. On the other hand, however, although foreign institutional investors do not engage in much trading, there is strong evidence to show that the trading in which they do engage has significant predictive power on the underlying asset returns. We also find that foreign institutional investors have greater predictive power with regard to out-of-the-money and short-horizon options, which results in higher trading leverage.
    URI: http://www.finance.nsysu.edu.tw/SFM/15thSFM/program/FullPaper/077-1020800869.pdf
    www.cass.city.ac.uk/
    http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62032
    Appears in Collections:[計量財務金融學系] 會議論文

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