The Effect of Net Buying Pressure on Implied Volatility: Empirical Study on Taiwan’s Options Market

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題名:	The Effect of Net Buying Pressure on Implied Volatility: Empirical Study on Taiwan’s Options Market
作者:	Duan, Chang-Wen;Ken Hung
貢獻者:	淡江大學財務金融學系
日期:	2010-07
上傳時間:	2014-11-25 14:55:04 (UTC+8)
出版者:	University of Missouri * St. Louis
摘要:	We examine the implied volatility of TAIEX options with the net buying pressure hypothesis. Empirical results find that the implied volatility of TAIEX options exhibits negative skewness, which is caused by the net buying pressure and is dependent on the time-to-maturity of the options contract. The effect of net buying pressure is most significant in options with longer maturity. After controlling the information flow and leverage effect, our empirical results show that net buying pressure is attributed to limits to arbitrage in the Taiwan options market. As institutional investors have greater hedging demand for out-of-the-money puts, we also conclude that net buying pressure has the biggest influence on the implied volatility of out-of-the-money puts. The trading simulation results support the net buying pressure hypothesis. Finally, we also show that Taiwan’s option investors are volatility traders.
關聯:	International Review of Accounting, Banking and Finance 2(2), p.50-83
顯示於類別:	[財務金融學系暨研究所] 期刊論文

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