The intraday behavior of information misreaction across various categories of investors in the Taiwan options market

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/105028

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/105028

Title:	The intraday behavior of information misreaction across various categories of investors in the Taiwan options market
Authors:	張傳章;Chang, Chuang-Chang;Hsieh, Pei-Fang;Tang, Chih-Wei;Wang, Yaw-Huei
Contributors:	管理學院財務金融學系
Keywords:	Investors;Misreaction;Model-free implied variance;Options;Stochastic volatility
Date:	2013-05-01
Issue Date:	2026-04-23 12:04:22 (UTC+8)
Publisher:	Elsevier;Elsevier B.V
Abstract:	摘要： This study adopts a unique dataset that includes the complete history of transactions in the Taiwan options market to investigate the misreaction patterns for marketwise observations and the transactions of four different categories of investors in the high-frequency framework. Using the results from model-free tests as benchmarks, we find that model-based tests incorrectly indicate the existence of investor misreaction and show the differences of misreaction degree among investor categories. Our findings are robust to alternative observation frequencies and duration definitions. ► The empirical analysis is conducted with a very sophisticated dataset in the high-frequency framework. ► Based on the model-free results, the model-based tests incorrectly indicate the existence of investor misreaction in the Taiwan options market. ► The findings are robust to alternative observation frequencies and duration definitions. 出版者： Elsevier B.V 出版日期： 2013-05-01 出處： Journal of financial markets (Amsterdam, Netherlands), 2013-05, Vol.16 (2), p.362-385 資源來源： Elsevier ScienceDirect Journals Complete 版權： 2012 Elsevier B.V. 識別號： ISSN: 1386-4181 識別號： EISSN: 1878-576X 識別號： DOI: 10.1016/j.finmar.2012.09.004
Appears in Collections:	[Department of Finance] journal & Dissertation

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