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政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/120785

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/120785

Title:	Analysis of the clientele effect and the information content of short-term index option returns in Taiwan
Authors:	Pan, Ging‐Ginq Shiu, Yung‐Ming 許永明 Wu, Tu‐Cheng
Contributors:	風管系
Keywords:	investor sentiment;shortest-term options;weekly options
Date:	2018-06
Issue Date:	2018-10-26 17:23:25 (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, 38(6), 715-730
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1002/fut.21910
DOI:	10.1002/fut.21910
Appears in Collections:	[風險管理與保險學系] 期刊論文

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