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    题名: Does Options Trading Convey Information on Futures Price.
    作者: Lin, William T.;Tsai, Shih-Chuan;Zheng, Zhenlong;Qiao, Shuai
    关键词: Foreign institutions;Information transmission;Option volume;Order imbalance;Price predictability
    日期: 2017-01-01
    上传时间: 2017-02-18 02:10:26 (UTC+8)
    摘要: This paper studies the presence of informed trading in Taiwan stock index options (TXO) and analyzes the informational role of foreign institutions in incorporating information into Taiwan stock index futures (TX). We have found that only the option-induced part (OOI) of the total TX order imbalance can predict future TX prices, and the OOI calculated from open-buy TXO, defined by Ni et al. (2008), provides incremental predictability. This finding shows that the price predictability stems from the information flow resulting from option transactions rather than from liquidity pressure. We conclude further that option transactions from foreign institutions provide the most significant predictability, out-of-the-money option transactions in particular. These empirical results show that option transactions conducted by foreign institutions have played the primary role in conveying the information inherent in the TXO market to the TX market, foreign institutions being delta-informed traders. Retail investors, the major players in both the TXO and TX markets, have done almost nothing of significance with regard to TXO information transmission into the TX market, with the exception of some near-the-money and out-of-the-money options.
    關聯: North American Journal of Economics and Finance 39, pp.182-196
    DOI: 10.1016/j.najef.2016.10.005
    显示于类别:[財務金融學系暨研究所] 期刊論文

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