https://scholars.lib.ntu.edu.tw/handle/123456789/414915
標題: | Information content of options trading volume for future volatility: Evidence from the Taiwan options market | 作者: | Chang C.-C. Hsieh P.-F. Wang Y.-H. |
關鍵字: | Emerging markets;Foreign investors;Option volume;Volatility | 公開日期: | 2010 | 卷: | 34 | 期: | 1 | 起(迄)頁: | 174-183 | 來源出版物: | Journal of Banking and Finance | 摘要: | 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. ? 2009 Elsevier B.V. All rights reserved. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414915 | ISSN: | 03784266 | DOI: | 10.1016/j.jbankfin.2009.07.015 |
顯示於: | 財務金融學系 |
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