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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 >  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/987654321/62089


    Title: Information content of options trading volume for future volatility: Evidence from the Taiwan options market
    Authors: Chang CC;Hsieh PF;Wang YH
    教師: 謝佩芳
    Date: 2010
    Publisher: Elsevier
    Relation: Journal of Banking and Finance,Elsevier, vol.34, no.1, 174-183, 2010.
    Keywords: IMPLIED VOLATILITY
    STOCK
    INVESTORS
    MODELS
    FLOWS
    SKEW
    Abstract: This study follows the approach of Ni et al. [Ni, S.X., Pan, J., Poteshman, A.M., 2008. Volatility information trading in the option market. journal of Finance 63, 1059-1091] - based upon the vega-weighted net demand for volatility - to determine whether volatility information exists within the Taiwan options market. Our empirical results show that foreign institutional investors possess the strongest and most direct volatility information, which is realized by the delta-neutral options/futures trades. In addition, a few individual investors (less than 1% of individuals' trades) might be informed and realize their volatility information using the strangle strategy. Surprisingly, 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.
    URI: www.elsevier.com/
    http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62089
    Appears in Collections:[計量財務金融學系] 期刊論文

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