| dc.contributor | 風管系 | |
| dc.creator (作者) | Pan, Ging‐Ginq | |
| dc.creator (作者) | Shiu, Yung‐Ming | |
| dc.creator (作者) | 許永明 | |
| dc.creator (作者) | Wu, Tu‐Cheng | |
| dc.date (日期) | 2018-06 | |
| dc.date.accessioned | 26-Oct-2018 17:23:25 (UTC+8) | - |
| dc.date.available | 26-Oct-2018 17:23:25 (UTC+8) | - |
| dc.date.issued (上傳時間) | 26-Oct-2018 17:23:25 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/120785 | - |
| 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, 38(6), 715-730 | |
| dc.subject (關鍵詞) | investor sentiment; shortest-term options; weekly options | |
| dc.title (題名) | Analysis of the clientele effect and the information content of short-term index option returns in Taiwan | en_US |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1002/fut.21910 | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1002/fut.21910 | |
