The intraday behavior of information misreaction across various categories of investors in the Taiwan options market
Journal
Journal of Financial Markets
Journal Volume
16
Journal Issue
2
Pages
362-385
Date Issued
2013
Author(s)
Abstract
This study adopts a unique dataset that includes the complete history of transactions in the Taiwan options market to investigate the misreaction patterns for marketwise observations and the transactions of four different categories of investors in the high-frequency framework. Using the results from model-free tests as benchmarks, we find that model-based tests incorrectly indicate the existence of investor misreaction and show the differences of misreaction degree among investor categories. Our findings are robust to alternative observation frequencies and duration definitions. ? 2012 Elsevier B.V.
Subjects
Investors
Misreaction
Model-free implied variance
Options
Stochastic volatility
Type
journal article