| dc.contributor | 政大財管系 | en_US |
| dc.creator (作者) | 張元晨 | zh_TW |
| dc.creator (作者) | Chang, Yuanchen;Chan, Kam C.;Lung, Peter P. | en_US |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 12-Dec-2013 17:09:57 (UTC+8) | - |
| dc.date.available | 12-Dec-2013 17:09:57 (UTC+8) | - |
| dc.date.issued (上傳時間) | 12-Dec-2013 17:09:57 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/62424 | - |
| dc.description.abstract (摘要) | We examine the informational role of options across exercise prices under different market conditions. We analyze the influence of options` leverage effect, and market cycles on the cause–effect relation between stock and options markets based on an emerging options market—the Taiwan stock index options market. When aggregating market data irrespective of market cycles and options moneyness, we find that the equity market leads the options market. However, as we control options` moneyness and market cycles, we find that out-of-the-money options lead the stock market by up to 90 min with more pronounced results in downtrends and periods of political tension. Our findings suggest that the informational role of options is interacted with leverage effect and market conditions. | en_US |
| dc.format.extent | 343379 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | Pacific Basin Finance Journal, 17(2), 189-208 | en_US |
| dc.subject (關鍵詞) | Information flow;Options;Emerging markets | en_US |
| dc.title (題名) | Informed Trading under Different Market Conditions and Moneyness: Evidence from TXO Options, | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1016/j.pacfin.2008.02.003 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/j.pacfin.2008.02.003 | - |
