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    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/62424


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    題名: Informed Trading under Different Market Conditions and Moneyness: Evidence from TXO Options,
    作者: 張元晨
    Chang, Yuanchen;Chan, Kam C.;Lung, Peter P.
    貢獻者: 政大財管系
    關鍵詞: Information flow;Options;Emerging markets
    日期: 2009
    上傳時間: 2013-12-12 17:09:57 (UTC+8)
    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.
    關聯: Pacific Basin Finance Journal, 17(2), 189-208
    資料類型: article
    DOI 連結: http://dx.doi.org/10.1016/j.pacfin.2008.02.003
    DOI: 10.1016/j.pacfin.2008.02.003
    顯示於類別:[財務管理學系] 期刊論文

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