Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
961052 | Journal of Financial Markets | 2013 | 24 Pages |
Abstract
⺠The empirical analysis is conducted with a very sophisticated dataset in the high-frequency framework. ⺠Based on the model-free results, the model-based tests incorrectly indicate the existence of investor misreaction in the Taiwan options market. ⺠The findings are robust to alternative observation frequencies and duration definitions.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Chuang-Chang Chang, Pei-Fang Hsieh, Chih-Wei Tang, Yaw-Huei Wang,