Zobrazeno 1 - 5
of 5
pro vyhledávání: '"Wen-Liang G. Hsieh"'
Publikováno v:
Journal of Empirical Finance. 68:84-103
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cf6ddd4994b70425f2dd18a66b119a8c
https://doi.org/10.1016/j.jempfin.2022.07.004
https://doi.org/10.1016/j.jempfin.2022.07.004
Publikováno v:
The North American Journal of Economics and Finance. 41:168-189
We examine the information content of index options trading during the pre-opening session. Using data from the Taiwan market, we find that variables constructed based upon option implied volatility and option volume imbalance in the pre-opening sess
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::81ee65b0e7673fece78c3058e51953ec
https://doi.org/10.1016/j.najef.2017.04.004
https://doi.org/10.1016/j.najef.2017.04.004
Publikováno v:
Journal of Empirical Finance. 35:78-98
An association between increased index futures mispricing and concurrent index volatility has been reported within several prior studies; in the present study, we argue that expected volatility over an arbitrage horizon also has an adverse effect on
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1a6d928dcc3c7797d2cb467851ecf7db
https://doi.org/10.1016/j.jempfin.2015.10.006
https://doi.org/10.1016/j.jempfin.2015.10.006
Autor:
Wen-liang G. Hsieh, Huei-Ru He
Publikováno v:
Journal of International Financial Markets, Institutions and Money. 31:187-215
This paper examines the predictive ability of index option put-call 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
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d4dcea71c0c7b178ffd830292925b4bb
https://doi.org/10.1016/j.intfin.2014.03.012
https://doi.org/10.1016/j.intfin.2014.03.012
Publikováno v:
Journal of Futures Markets. 28:354-375
This study investigates the relative rate of price discovery in Taiwan between index futures and index options, proposing a put-call parity (PCP) approach to recover the spot index embedded in the options premiums. The PCP approach offers the benefit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1407be8c82499ff2f053a287ef5a4a7f
https://doi.org/10.1002/fut.20302
https://doi.org/10.1002/fut.20302