The Effect of Net Buying Pressure on Implied Volatility: Empirical Study on Taiwan’s Options Market | |
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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 | 是 |
國別 | USA |
公開徵稿 | |
出版型式 | ,紙本 |
相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/99544 ) |