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    題名: The Information Flow of Different Investor Trading under Different Market Conditions and Moneyness
    作者: Lee, Yen-Hsien;Chiou, Jer-Shiou;Lee, Ming-Chih;Lee, Chun-Ta
    貢獻者: 淡江大學財務金融學系
    關鍵詞: Moneyness;Lead-lag effect;Domestic institutional investors;Foreign institutional investors;Individual investors;Options
    日期: 2014-01-01
    上傳時間: 2014-11-27 15:34:37 (UTC+8)
    出版者: Warsaw: Polskie Towarzystwo Lesne
    摘要: 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.
    關聯: SYLWAN Journal
    顯示於類別:[財務金融學系暨研究所] 期刊論文

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