English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 94586/125118 (76%)
Visitors : 30516391      Online Users : 332
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
    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/62424
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/62424

    Title: Informed Trading under Different Market Conditions and Moneyness: Evidence from TXO Options,
    Authors: 張元晨
    Chang, Yuanchen;Chan, Kam C.;Lung, Peter P.
    Contributors: 政大財管系
    Keywords: Information flow;Options;Emerging markets
    Date: 2009
    Issue Date: 2013-12-12 17:09:57 (UTC+8)
    Abstract: 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.
    Relation: Pacific Basin Finance Journal, 17(2), 189-208
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1016/j.pacfin.2008.02.003
    DOI: 10.1016/j.pacfin.2008.02.003
    Appears in Collections:[財務管理學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    189208.pdf335KbAdobe PDF786View/Open

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

    社群 sharing

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback