کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
975566 933038 2009 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Informed trading under different market conditions and moneyness: Evidence from TXO options
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Informed trading under different market conditions and moneyness: Evidence from TXO options
چکیده انگلیسی

We examine the informational role of options across exercise prices under different market conditions. We analyze the influence of options' leverage effect, and market cycles on the cause–effect relation between stock and options markets based on an emerging options market—the Taiwan stock index options market. When aggregating market data irrespective of market cycles and options moneyness, we find that the equity market leads the options market. However, as we control options' moneyness and market cycles, we find that out-of-the-money options lead the stock market by up to 90 min with more pronounced results in downtrends and periods of political tension. Our findings suggest that the informational role of options is interacted with leverage effect and market conditions.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Pacific-Basin Finance Journal - Volume 17, Issue 2, April 2009, Pages 189–208
نویسندگان
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