The Effect of Net Buying Pressure on Implied Volatility: Empirical Study on Taiwan’s Options Market
學年 98
學期 2
出版(發表)日期 2010-07-01
作品名稱 The Effect of Net Buying Pressure on Implied Volatility: Empirical Study on Taiwan’s Options Market
作品名稱(其他語言)
著者 Duan, Chang-Wen; Ken Hung
單位 淡江大學財務金融學系
出版者 University of Missouri * St. Louis
著錄名稱、卷期、頁數 International Review of Accounting, Banking and Finance 2(2), p.50-83
摘要 We examine the implied volatility of TAIEX options with the net buying pressure hypothesis. Empirical results find that the implied volatility of TAIEX options exhibits negative skewness, which is caused by the net buying pressure and is dependent on the time-to-maturity of the options contract. The effect of net buying pressure is most significant in options with longer maturity. After controlling the information flow and leverage effect, our empirical results show that net buying pressure is attributed to limits to arbitrage in the Taiwan options market. As institutional investors have greater hedging demand for out-of-the-money puts, we also conclude that net buying pressure has the biggest influence on the implied volatility of out-of-the-money puts. The trading simulation results support the net buying pressure hypothesis. Finally, we also show that Taiwan’s option investors are volatility traders.
關鍵字
語言 en
ISSN
期刊性質 國外
收錄於
產學合作
通訊作者 段昌文
審稿制度
國別 USA
公開徵稿
出版型式 ,紙本
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