English  |  正體中文  |  简体中文  |  Items with full text/Total items : 58323/91877 (63%)
Visitors : 14327203      Online Users : 111
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/99563

    Title: The Information Flow of Different Investor Trading under Different Market Conditions and Moneyness
    Authors: Lee, Yen-Hsien;Chiou, Jer-Shiou;Lee, Ming-Chih;Lee, Chun-Ta
    Contributors: 淡江大學財務金融學系
    Keywords: Moneyness;Lead-lag effect;Domestic institutional investors;Foreign institutional investors;Individual investors;Options
    Date: 2014-01-01
    Issue Date: 2014-11-27 15:34:37 (UTC+8)
    Publisher: Warsaw: Polskie Towarzystwo Lesne
    Abstract: This paper examines information flow of different investor trading between stock market and options market under different moneyness. We document regularities related to trading patterns of all investors, domestic institution investors, foreign institution investors, individual investors and market maker. Our sampling period covers from March 24, 2008 through to March 31, 2009, and consists of a period of bear market from May 21, 2008 through to November 20, 2008. We analyze the lead-lag effect between the stock and options markets, based on an emerging options market. Without considering investors and moneyness, we find that the stock market leads the options market. However, when considering investors and moneyness, the options market lead the stock as domestic institution investors trade in OTM of an entire period, OTM of a bear market, and foreign institution investors trade in bear markets. Therefore, institutional investors are likely to obtain informative information in OTM options.
    Relation: SYLWAN Journal
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

    Files in This Item:

    There are no files associated with this item.

    All items in 機構典藏 are protected by copyright, with all rights reserved.

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