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政大典藏 > College of Communication > Department of Radio & Television & Graduate Program > Periodical Articles > Item 140.119/118157

Please use this identifier to cite or link to this item: https://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 link:	https://doi.org/10.1002/fut.21910
DOI:	10.1002/fut.21910
Appears in Collections:	[Department of Radio & Television & Graduate Program] Periodical Articles

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