We investigate the information link between Taiwan option and stock markets by using the multimarket sequential trade model developed by Easley, O¡¦Hara and Srinivas (1998). We test the condition if informed traders trade in the Taiwan option market by investigating the information role of TXO trading volume in Taiwan option market. The result shows that traders¡¦ activity in Taiwan option market is informative and TXO trading volumes have information content for future stock index movements. We show that the ¡§positive news¡¨ and ¡§negative news¡¨ option volumes can predict stock index over 45 minutes; what is different from the empirical result of Easley, O¡¦Hara and Srinivas (1998) is that in Taiwan option market even the standard call, put or all option volumes have predictive power for 25 minutes.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0714109-135320 |
| Date | 14 July 2009 |
| Creators | Chen, Chun-yu |
| Contributors | Anlin Chen, Chin-Shun Wu, Jen-Jsung Huang |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0714109-135320 |
| Rights | unrestricted, Copyright information available at source archive |
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