The Trading Behavior of Various Types of Investors Between Taiwanese Options and Equity Markets
The main purpose of this study is to investigate the trading behavior of various types of investors between Taiwanese options and equity markets. This study employs 15-min frequency options volume established from the microstructure dataset, the returns and volume of equity price index to explore the trading behavioT between options and equity markets. The empirical results indicate that the trading behavior of individual investors is opposite to the trading behavior of institutional investors, implying that the information asymmetry may exist between the trading behaviors of these two types of investors. The institutional investors may possess superior information than the individual investors. Furthermore, market makers are not only liquidity providers but also may make profit in options market. Finally, the institutional investors including dealers and foreign institutional investors may hedge their portfolios by adopting the trading strategy of protective put.
TU Tengtsai DU Yuchen LEE Shinchiang
Taipei University, Taipei, P.R.China Ming-Chuan University, 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
937-943
2011-09-24(万方平台首次上网日期,不代表论文的发表时间)