English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 90533/120562 (75%)
Visitors : 24974637      Online Users : 265
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/118157


    Title: Analysis of the Clientele Effect, Information Content and Returns of the Shortest-term Index Options in Taiwan
    Authors: Pan, Ging‐Ginq
    許永明
    Shiu, Yung‐Ming
    Wu, Tu‐Cheng
    Contributors: 風管系
    Date: 2018-06
    Issue Date: 2018-06-29 17:11:57 (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, Volume38, Issue6 , Pages 715-730
    Data Type: article
    DOI 連結: https://doi.org/10.1002/fut.21910
    DOI: 10.1002/fut.21910
    Appears in Collections:[廣播電視學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    21910.pdf983KbAdobe PDF319View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback