Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/120785
DC Field | Value | Language |
---|---|---|
dc.contributor | 風管系 | |
dc.creator | Pan, Ging‐Ginq | |
dc.creator | Shiu, Yung‐Ming | |
dc.creator | 許永明 | |
dc.creator | Wu, Tu‐Cheng | |
dc.date | 2018-06 | |
dc.date.accessioned | 2018-10-26T09:23:25Z | - |
dc.date.available | 2018-10-26T09:23:25Z | - |
dc.date.issued | 2018-10-26T09:23:25Z | - |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/120785 | - |
dc.description.abstract | 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. | en_US |
dc.format.extent | 1007260 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.relation | JOURNAL OF FUTURES MARKETS, 38(6), 715-730 | |
dc.subject | investor sentiment; shortest-term options; weekly options | |
dc.title | Analysis of the clientele effect and the information content of short-term index option returns in Taiwan | en_US |
dc.type | article | |
dc.identifier.doi | 10.1002/fut.21910 | |
dc.doi.uri | http://dx.doi.org/10.1002/fut.21910 | |
item.grantfulltext | restricted | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.openairetype | article | - |
item.cerifentitytype | Publications | - |
item.fulltext | With Fulltext | - |
Appears in Collections: | 期刊論文 |
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