Information content of options trading volume for future volatility: Evidence from the Taiwan options market

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/51689

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/51689

Title:	Information content of options trading volume for future volatility: Evidence from the Taiwan options market
Authors:	Chang,CC;Hsieh,PF;Wang,YH
Contributors:	財務金融學系
Date:	2010
Issue Date:	2012-03-27 19:02:51 (UTC+8)
Publisher:	國立中央大學
Abstract:	This study follows the approach of Ni et al. [Ni, S.X., Pan, J., Poteshman, A.M., 2008. Volatility information trading in the option market. journal of Finance 63, 1059-1091] - based upon the vega-weighted net demand for volatility - to determine whether volatility information exists within the Taiwan options market. Our empirical results show that foreign institutional investors possess the strongest and most direct volatility information, which is realized by the delta-neutral options/futures trades. In addition, a few individual investors (less than 1% of individuals' trades) might be informed and realize their volatility information using the strangle strategy. Surprisingly, we find no evidence to support the predictive ability of the volatility demand from straddle trades, despite the widespread acknowledgement that such trades are sensitive to volatility. (C) 2009 Elsevier B.V. All rights reserved.
Relation:	JOURNAL OF BANKING & FINANCE
Appears in Collections:	[Department of Finance] journal & Dissertation

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