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    National Tsing Hua University Institutional Repository > 科技管理學院  > 計量財務金融學系 > 期刊論文 >  Do Informed Investors Predict Stock Returns? 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/987654321/62088

    Title: Do Informed Investors Predict Stock Returns? Evidence from the Taiwan Stock Exchange
    Authors: Chang CC;Hsieh PF;Lai HN
    教師: 謝佩芳
    Date: 2009
    Publisher: Elsevier
    Relation: Journal of Banking and Finance,Elsevier, vol.33, no.4, 757-764, 2009.
    Keywords: MARKETS
    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 option market. We find that options volume, as a whole, carries no information on TAIEX spot index changes. 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 in near-the-money and middle-horizon options.
    URI: www.elsevier.com/
    Appears in Collections:[計量財務金融學系] 期刊論文

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