教師資料查詢 | 類別: 期刊論文 | 教師: 黃健銘 HUANG, CHIEN-MING (瀏覽個人網頁)

標題:The Information Flow of Option Markets during Global Financial Crisis: Where Do Informed Traders Trade?
學年106
學期1
出版(發表)日期2017/12/01
作品名稱The Information Flow of Option Markets during Global Financial Crisis: Where Do Informed Traders Trade?
作品名稱(其他語言)
著者Ding, H.M.; Huang, Chien-Ming
單位
出版者
著錄名稱、卷期、頁數International Journal of Information and Management Sciences 28(4), p.317-334
摘要Using the original transaction recodes from the Taiwan index options market, this paper is to investigate the trading behaviors of different investors and to capture the information flow between options market and stock market during global financial crisis. In contrast to previous studies, after controlling for the trading volume effects of different exercise prices with the same term-to-expiration, the empirical results show that market investors prefer to trade short-horizon contracts with larger trading liquidity and tend to choose the out-of- the-money options with higher leverage. In addition, there is a significantly reciprocal effect between options market and stock market. When the options trade increases, our findings are also consistent with the pooling equilibrium hypothesis. Particularly, the difference of trades between informed traders and individual investors during global financial crisis has responded to asymmetric information problems. Therefore, this paper concludes that the options trade of foreign institutional investors is more informative, and because of informative advantages, they are probably attracted to out-of-the money options.
關鍵字Options market;global financial crisis;informed traders
語言英文(美國)
ISSN1017-1819
期刊性質國內
收錄於TSSCI;EI;
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
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