The Lead/lag Relationship between Stock Option and Stock Markets around Earnings Announcement
Date Issued
2006
Date
2006
Author(s)
Tsai, I-Chieh
DOI
zh-TW
Abstract
Stock option market and stock market are highly related. However, because of the differences in the market design, informed traders might have a preference for one market, and trade in that market first while they have private information. This results in a lead/lag relationship.
This study investigates intraday relationships between the prices of stock options and their underlying stocks on the Taiwan Stock Exchange from January 1st of 2004 to September 30th of 2005. The results indicate that throughout the five trading days preceding earnings announcements with significant unanticipated information content, implied stock values did not lead their corresponding observed stock prices. On the contrary, stock prices did lead the implied stock values by about one day. Furthermore, the results are the same whether earnings announcements are good news or not.
Subjects
選擇權
領先落後
盈餘宣告
stock option
lead/lag
earnings announcement
Type
thesis
File(s)![Thumbnail Image]()
Loading...
Name
ntu-95-R93723008-1.pdf
Size
23.31 KB
Format
Adobe PDF
Checksum
(MD5):052f1acad3e737329a024773acb0a6e4