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

doi:10.1016/j.finmar.2012.09.004

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

Department of Finance

Research output: Contribution to journal › Article › peer-review

4 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 language	English
Pages (from-to)	362-385
Number of pages	24
Journal	Journal of Financial Markets
Volume	16
Issue number	2
DOIs	https://doi.org/10.1016/j.finmar.2012.09.004
State	Published - May 2013

Keywords

Investors
Misreaction
Model-free implied variance
Options
Stochastic volatility

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10.1016/j.finmar.2012.09.004

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title = "The intraday behavior of information misreaction across various categories of investors in the Taiwan options market",

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.",

keywords = "Investors, Misreaction, Model-free implied variance, Options, Stochastic volatility",

author = "Chang, {Chuang Chang} and Hsieh, {Pei Fang} and Tang, {Chih Wei} and Wang, {Yaw Huei}",

note = "Funding Information: We are indebted to the seminar participants at the Financial Management Association Annual Meeting 2011, the Australasian Finance and Banking Finance Conference 2010, the National Taiwan University International Conference on Finance 2010 and Tamkang University for helpful comments and suggestions. The authors are grateful to the National Science Council of Taiwan for the financial support provided for this study. ",

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N1 - Funding Information: We are indebted to the seminar participants at the Financial Management Association Annual Meeting 2011, the Australasian Finance and Banking Finance Conference 2010, the National Taiwan University International Conference on Finance 2010 and Tamkang University for helpful comments and suggestions. The authors are grateful to the National Science Council of Taiwan for the financial support provided for this study.

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N2 - 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.

AB - 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.

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KW - Model-free implied variance

KW - Options

KW - Stochastic volatility

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

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Keywords

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