Do informed option investors predict stock returns? Evidence from the Taiwan stock exchange

NCUIR > School of Management at National Central University > Graduate Institute of Finance > journal & Dissertation > Item 987654321/29542

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/29542

Title:	Do informed option investors predict stock returns? Evidence from the Taiwan stock exchange
Authors:	Chang,CC;Hsieh,PF;Lai,HN
Contributors:	財務金融所
Keywords:	MARKETS;INFORMATION;FOREIGN;VOLUME;FLOWS;PRICES;IMPACT;TRADE
Date:	2009
Issue Date:	2010-06-29 20:30:29 (UTC+8)
Publisher:	中央大學
Abstract:	In this paper, we set out to investigate the information content of options trading using a unique dataset to examine the predictive power of the put and call positions of different types of traders in the TAIEX option market. We find that options volume, as a whole, carries no information on TAIEX spot index changes. On the other hand, however. although foreign institutional investors do not engage in much trading, there is strong evidence to show that the trading in which they do engage has significant predictive power on the underlying asset returns. We also find that foreign institutional investors have greater predictive power with regard to in near-the-money and middle-horizon options. (C) 2008 Elsevier B.V. All rights reserved.
Relation:	JOURNAL OF BANKING & FINANCE
Appears in Collections:	[Graduate Institute of Finance] journal & Dissertation

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