教師資料查詢 | 類別: 期刊論文 | 教師: 段昌文 CHANG-WEN DUAN (瀏覽個人網頁)

標題:Index Options and Informativeness of the Underlying Stocks' Prices: An Empirical Study
學年100
學期1
出版(發表)日期2011/12/01
作品名稱Index Options and Informativeness of the Underlying Stocks' Prices: An Empirical Study
作品名稱(其他語言)
著者Liu, Shinhua; Hung, Ken; Duan, Chang-Wen
單位淡江大學財務金融學系
出版者臺北市臺灣財務金融學會
著錄名稱、卷期、頁數Journal of Financial Studies=財務金融學刊 19(4), pp.119-
摘要Theories predict that initiation of index derivatives could affect the informativeness of the underlying stocksf prices. We test this hypothesis by exploring stock price behavior around the introduction of the SandP 100 options on the CBOE in March 1983. Applying two alternative statistical methods to both daily and weekly data, we find that, following the listing of the index options, the underlying stocksf returns become significantly more random and, thus, less predictable, net of contemporary marketwide efficiency shifts. That is, the underlying stocksf prices tend to be more informative following the commencement of the index options, consistent with the hypothesis.
關鍵字SandP 100 index options; underlying stocks; return predictability; price informativeness
語言英文
ISSN1022-2898
期刊性質國內
收錄於TSSCI
產學合作
通訊作者
審稿制度
國別中華民國
公開徵稿
出版型式電子版;紙本
相關連結
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