淡江大學機構典藏:Item 987654321/23729
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    题名: The intraday behaviors and relationships with its underlying assets: evidence on option market in Taiwan
    作者: Lee, Ming-chih;Chen, Chun-da
    贡献者: 淡江大學財務金融學系
    关键词: ARIMA model;GARCH model;Options market;Volatility transmission;Information asymmetric effect
    日期: 2005
    上传时间: 2009-11-30 17:51:07 (UTC+8)
    出版者: Elsevier
    摘要: In this paper, we use daily data to investigate the information asymmetric effects and the relationships between the trading volume of options and their underlying spot trading volume. Our results reveal that options with higher liquidity are near-the-money and expiration periods with 2 to 4 weeks have higher trading activity. We classify them into two parts with the ARIMA model: the expected trading activity impact and the unexpected trading activity impact. Using the bivariate generalized autoregressive conditional heteroscedasticity (GARCH) model, we investigate the trading activity effect and information asymmetric effect. In conclusion, the trading volume volatility of the spot and options markets move together, and a greater expected and unexpected trading volume volatility of the spot (options) market is associated with greater volatility in the options (spot) market. However, both markets generate higher trading volume volatility when people expect such an impact rather than when they do not. We also find that there are feedback effects within these two markets. Furthermore, when the spot (options) market has negative innovations, it generates a greater impact on the options (spot) market than do positive innovations. Finally, the conditional correlation coefficient between the spot and the option markets changes over time based on the bivariate GARCH model.
    關聯: International Review of Financial Analysis 14(5), pp.587-603
    DOI: 10.1016/j.irfa.2004.10.021
    显示于类别:[財務金融學系暨研究所] 期刊論文

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