| dc.contributor | 風管系 | |
| dc.creator (作者) | Pan, Ging‐Ginq | en_US |
| dc.creator (作者) | 許永明 | zh_TW |
| dc.creator (作者) | Shiu, Yung‐Ming | en_US |
| dc.creator (作者) | Wu, Tu‐Cheng | en_US |
| dc.date (日期) | 2018-06 | |
| dc.date.accessioned | 29-Jun-2018 17:11:57 (UTC+8) | - |
| dc.date.available | 29-Jun-2018 17:11:57 (UTC+8) | - |
| dc.date.issued (上傳時間) | 29-Jun-2018 17:11:57 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/118157 | - |
| dc.description.abstract (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. | en_US |
| dc.format.extent | 1007260 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Journal of Futures Markets, Volume38, Issue6 , Pages 715-730 | |
| dc.title (題名) | Analysis of the Clientele Effect, Information Content and Returns of the Shortest-term Index Options in Taiwan | en_US |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1002/fut.21910 | |
| dc.doi.uri (DOI) | https://doi.org/10.1002/fut.21910 | |
