淡江大學機構典藏:Item 987654321/110029
English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 64191/96979 (66%)
造訪人次 : 8152298      線上人數 : 7921
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋


    請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/110029


    題名: Retrieving Aggregate Information from Option Volume
    作者: Lin, William T.;Tsai, Shih-Chuan;Zheng, Zhenlong;Qiao, Shuai
    日期: 2017-03-01
    上傳時間: 2017-03-21 02:10:25 (UTC+8)
    摘要: This paper studies how to retrieve aggregate information from the trading volume of Taiwan composite stock index options (TXO) with better quality by modifying the two option-information aggregation methods introduced in Holowczak et al. (2014). To study an emerging market such as the Taiwan options market, whose major players are retail investors, we take into consideration the retail participation rate and the trading distribution across moneyness, in addition to factors such as option market depth, liquidity, and investors' trading purposes, as discussed in Holowczak et al. (2014). Retail investors, who are generally less well-informed, have traded mainly nearby TXO options with expirations of less than one month. Therefore, the weights of nearby contracts should be reduced. Furthermore, both institutions and retail investors have traded more at near-the-money TXO options, and consequently the weights of in-the-money options and out-of-the-money options should be discounted to accommodate the uneven option trading across moneyness. In addition, we find that there is a dichotomy in the information roles of out-of-the-money options: the information content of their trades is higher (lower) when market volatility increases (decreases). Based on this finding, we establish a VIX-adjusted put-call ratio which increases (decreases) the weight of out-of-the-money options when the market VIX is larger (smaller) than its previous average level. Our model, as revised for an emerging market such as the Taiwan options market, has outperformed in explaining contemporaneous price changes and has shown very good predictive ability for large downside market moves.
    關聯: International Review of Economics and Finance 55
    DOI: 10.1016/j.iref.2017.07.018
    顯示於類別:[財務金融學系暨研究所] 期刊論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    index.html0KbHTML160檢視/開啟
    Retrieving Aggregate Information from Option Volume.pdf498KbAdobe PDF1檢視/開啟

    在機構典藏中所有的資料項目都受到原著作權保護.

    TAIR相關文章

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回饋