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

研究成果: 雜誌貢獻期刊論文同行評審

3 引文 斯高帕斯(Scopus)

摘要

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.

原文???core.languages.en_GB???
頁(從 - 到)362-385
頁數24
期刊Journal of Financial Markets
16
發行號2
DOIs
出版狀態已出版 - 5月 2013

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