Effect of Trader Behavior and Trade Duration on Price Volatility: Evidence from the TXO Options Market
Because relatively few studies have examined the behaviors of different trader types in the options market, this investigation conducts the 1st empirical study examining the influence of trader type on price volatility in the TXO options market. This study examined these issues in the option market because of the belief that informed investors might choose to trade options because of their higher leverage, which makes them attractive to speculators seeking to benefit from variations in the underlying price. This study applies the ACD model to capture the expected trading durations in the TXO options market, and includes trader type behaviors to examine their effect on volatility in the TXO option market using the ACD-GARCH model.
WU Peishan CHIU Chinpo
Chingyun University, Taipei University, Taipei, P.R.China
国际会议
2011 International Conference on Strategic Management(2011年战略管理国际会议 ICSM)
成都
英文
944-951
2011-09-24（万方平台首次上网日期，不代表论文的发表时间）