Information content of options trading volume for future volatility: Evidence from the Taiwan options market

Chuang Chang Chang, Pei Fang Hsieh, Yaw Huei Wang

研究成果: 雜誌貢獻期刊論文同行評審

32 引文 斯高帕斯(Scopus)

摘要

This study follows the approach of Ni et al. [Ni, S.X., Pan, J., Poteshman, A.M., 2008. Volatility information trading in the option market. Journal of Finance 63, 1059-1091] - based upon the vega-weighted net demand for volatility - to determine whether volatility information exists within the Taiwan options market. Our empirical results show that foreign institutional investors possess the strongest and most direct volatility information, which is realized by the delta-neutral options/futures trades. In addition, a few individual investors (less than 1% of individuals' trades) might be informed and realize their volatility information using the strangle strategy. Surprisingly, we find no evidence to support the predictive ability of the volatility demand from straddle trades, despite the widespread acknowledgement that such trades are sensitive to volatility.

原文???core.languages.en_GB???
頁(從 - 到)174-183
頁數10
期刊Journal of Banking and Finance
34
發行號1
DOIs
出版狀態已出版 - 1月 2010

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