教師資料查詢 | 類別: 期刊論文 | 教師: 林蒼祥 Lin William T. (瀏覽個人網頁)

標題:Does Options Trading Convey Information on Futures Price.
學年105
學期1
出版(發表)日期2017/01/01
作品名稱Does Options Trading Convey Information on Futures Price.
作品名稱(其他語言)
著者William T. Lin; Shih-Chuan Tsai; Zhenlong Zheng; Shuai Qiao
單位
出版者
著錄名稱、卷期、頁數North American Journal of Economics and Finance 39, pp.182-196
摘要This paper studies the presence of informed trading in Taiwan stock index options (TXO) and analyzes the informational role of foreign institutions in incorporating information into Taiwan stock index futures (TX). We have found that only the option-induced part (OOI) of the total TX order imbalance can predict future TX prices, and the OOI calculated from open-buy TXO, defined by Ni et al. (2008), provides incremental predictability. This finding shows that the price predictability stems from the information flow resulting from option transactions rather than from liquidity pressure. We conclude further that option transactions from foreign institutions provide the most significant predictability, out-of-the-money option transactions in particular. These empirical results show that option transactions conducted by foreign institutions have played the primary role in conveying the information inherent in the TXO market to the TX market, foreign institutions being delta-informed traders. Retail investors, the major players in both the TXO and TX markets, have done almost nothing of significance with regard to TXO information transmission into the TX market, with the exception of some near-the-money and out-of-the-money options.
關鍵字Foreign institutions;Information transmission;Option volume;Order imbalance;Price predictability
語言英文
ISSN1062-9408
期刊性質國外
收錄於SSCI;
產學合作
通訊作者Shuai Qiao
審稿制度
國別中華民國
公開徵稿
出版型式,電子版,紙本
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