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https://ah.lib.nccu.edu.tw/handle/140.119/120785
題名: | Analysis of the clientele effect and the information content of short-term index option returns in Taiwan | 作者: | Pan, Ging‐Ginq Shiu, Yung‐Ming 許永明 Wu, Tu‐Cheng |
貢獻者: | 風管系 | 關鍵詞: | investor sentiment; shortest-term options; weekly options | 日期: | Jun-2018 | 上傳時間: | 26-Oct-2018 | 摘要: | We compare and contrast the clientele effect, information content and the buy-and- hold returns of options with weekly and monthly expiration periods (Weeklys and Monthlys) traded on the Taiwan Stock Exchange Capitalization-weighted Stock Index (TAIEX). No significant clientele effect is discernible in either market. Furthermore, Weeklys has the wider bid-ask spread and lower depth clearly implies greater information asymmetry than Monthlys. Unlike Weeklys, Monthlys are found to play a leading informational role in TAIEX returns. We further observe that both types of options have significantly negative returns. | 關聯: | JOURNAL OF FUTURES MARKETS, 38(6), 715-730 | 資料類型: | article | DOI: | http://dx.doi.org/10.1002/fut.21910 |
Appears in Collections: | 期刊論文 |
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