Please use this identifier to cite or link to this item:

Title: Do Options Contribute to Price Discovery in Emerging Markets?
Authors: Chan, Kam C.;Chang, Yuan-Chen;Lung, Peter P.
Contributors: 財管系
Keywords: Derivatives;Options
Date: 2009-04
Issue Date: 2015-10-06 16:33:51 (UTC+8)
Abstract: We examine the informational role of derivatives in price discovery in Taiwan. After controlling for market cycles, moneyness, and liquidity, we use three methodologies to measure the information content in different trading venues. We find that the trades on futures contribute the most to price discovery. However, the futures transactions are also the most costly in executing information trading. The information role of options varies with moneyness and market cycles. Options tend be more informative during a downtrend period. This can be partially explained by short-sale constraints. Out-of-the money options have higher permanent price effects, greater price contributions, and larger information share than other options. The findings suggest that informed traders are more concerned about an option's leverage than its delta or vega. Thus, in examining price discovery in different trading venues, pooling options data, irrespective of market cycles and moneyness, may affect the empirical results.
Relation: International Review of Accounting, Banking and Finance, 1(1), 92-124
Data Type: article
Appears in Collections:[經濟學系] 期刊論文

Files in This Item:

File Description SizeFormat

All items in 學術集成 are protected by copyright, with all rights reserved.

社群 sharing