標題: Informed trading, trading strategies and the information content of trading volume: Evidence from the Taiwan index options market
作者: Hsieh, Wen-liang G.
He, Huei-Ru
資訊管理與財務金融系 註:原資管所+財金所
Department of Information Management and Finance
關鍵字: Index options;Options volume;Informed trading;Foreign institutional investors;Taiwan
公開日期: 1-Jul-2014
摘要: This paper examines the predictive ability of index option putcall volume on next-day index movements in the Taiwan market. We find that foreign institutional investors are the most informed traders, with their predictive ability being more apparent in a downward market. When engaging in informed trading, foreign institutional investors tend to use out-of-the-money options to achieve high leverage, along with medium-term options to obtain large delta exposure and low theta risk, whilst also sacrificing liquidity by forgoing the use of short-term options. The predictive ability of foreign institutional investors is found to be significantly enhanced on days with important macroeconomic news, thereby indicating their superior interpretative ability of publicly accessible information. Based upon their long-lived informational advantage, foreign institutional investors will tend to engage in informed trading using limit orders and medium-sized trades in order to camouflage their information. (C) 2014 Elsevier B.V. All rights reserved.
URI: http://dx.doi.org/10.1016/j.intfin.2014.03.012
http://hdl.handle.net/11536/24986
ISSN: 1042-4431
DOI: 10.1016/j.intfin.2014.03.012
期刊: JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY
Volume: 31
Issue: 
起始頁: 187
結束頁: 215
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