Information Content between the Option and Stock Markets

• Main Authors: Chung, Chia-Yu, 鍾佳玗
• Other Authors: Chang, Jung-hsien
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/64652095596812598721

碩士 === 國立暨南國際大學 === 財務金融學系 === 104 === The purpose of this paper is, how different investor types from option and stock markets have trading information content. We discuss the relation between option to stock ratio, put-call ratio, order imbalance, market sidedness and stock return across investor classes on the Taiwan Stock Exchange. The study finds that option trading is affected by the differences of opinion and market liquidity. Most of them are explained by differences degree, is only in view of the market liquidity, not private information. This paper also finds that individual investors are limited by data selection or of the cause of the noise traders, dealers are earn Premium for the main purpose and domestic investors have long-tern motive to hedge. It is important to note that foreign trade only affected by the differences of opinion. In addition, we find that the open interest can have the connotation of information than volume.