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    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:[財務金融學系暨研究所] 期刊論文

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