Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/120785


Title: Analysis of the clientele effect and the information content of short-term index option returns in Taiwan
Authors: Pan, Ging‐Ginq
Shiu, Yung‐Ming
許永明
Wu, Tu‐Cheng
Contributors: 風管系
Keywords: investor sentiment;shortest-term options;weekly options
Date: 2018-06
Issue Date: 2018-10-26 17:23:25 (UTC+8)
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.
Relation: JOURNAL OF FUTURES MARKETS, 38(6), 715-730
Data Type: article
DOI 連結: http://dx.doi.org/10.1002/fut.21910
Appears in Collections:[風險管理與保險學系 ] 期刊論文

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