The intraday behavior of information misreaction across various categories of investors in the Taiwan options market

Chuang Chang Chang, Pei Fang Hsieh, Chih Wei Tang, Yaw Huei Wang

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

This study adopts a unique dataset that includes the complete history of transactions in the Taiwan options market to investigate the misreaction patterns for marketwise observations and the transactions of four different categories of investors in the high-frequency framework. Using the results from model-free tests as benchmarks, we find that model-based tests incorrectly indicate the existence of investor misreaction and show the differences of misreaction degree among investor categories. Our findings are robust to alternative observation frequencies and duration definitions.

Original languageEnglish
Pages (from-to)362-385
Number of pages24
JournalJournal of Financial Markets
Volume16
Issue number2
DOIs
StatePublished - May 2013

Keywords

  • Investors
  • Misreaction
  • Model-free implied variance
  • Options
  • Stochastic volatility

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