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The intraday behaviors and relationships with its underlying assets: evidence on option market in Taiwan

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  • Lee, Mingchih
  • Chen, Chun-Da

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  • Lee, Mingchih & Chen, Chun-Da, 2005. "The intraday behaviors and relationships with its underlying assets: evidence on option market in Taiwan," International Review of Financial Analysis, Elsevier, vol. 14(5), pages 587-603.
    • Handle: RePEc:eee:finana:v:14:y:2005:i:5:p:587-603
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    References listed on IDEAS

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    1. Tae Park & Lorne Switzer & Robert Bedrossian, 1999. "The interactions between trading volume and volatility: evidence from the equity options markets," Applied Financial Economics, Taylor & Francis Journals, vol. 9(6), pages 627-637.
    2. Chen, K. C. & Wu, Lifan, 2001. "Introduction and expiration effects of derivative equity warrants in Hong Kong," International Review of Financial Analysis, Elsevier, vol. 10(1), pages 37-52.
    3. Michael Boluch & Trevor Chamberlain, 1997. "Option volume and stock price behavior: Some evidence from the Chicago board options exchange," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 25(4), pages 358-370, December.
    4. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(1), pages 109-126, March.
    5. Fase, MMG, 1994. "The interaction between trading volume of stocks and options: Some statistical evidence," Journal of International Money and Finance, Elsevier, vol. 13(5), pages 587-601, October.
    6. Vijh, Anand M, 1990. "Liquidity of the CBOE Equity Options," Journal of Finance, American Finance Association, vol. 45(4), pages 1157-1179, September.
    7. Kamara, Avraham & Miller, Thomas W., 1995. "Daily and Intradaily Tests of European Put-Call Parity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(4), pages 519-539, December.
    8. Niclas Hagelin, 2000. "Index option market activity and cash market volatility under different market conditions: an empirical study from Sweden," Applied Financial Economics, Taylor & Francis Journals, vol. 10(6), pages 597-613.
    9. Braun, Phillip A & Nelson, Daniel B & Sunier, Alain M, 1995. "Good News, Bad News, Volatility, and Betas," Journal of Finance, American Finance Association, vol. 50(5), pages 1575-1603, December.
    10. Peijie Wang & Ping Wang, 2001. "Equilibrium adjustment, basis risk and risk transmission in spot and forward foreign exchange markets," Applied Financial Economics, Taylor & Francis Journals, vol. 11(2), pages 127-136.
    11. Stephan, Jens A & Whaley, Robert E, 1990. "Intraday Price Change and Trading Volume Relations in the Stock and Stock Option Markets," Journal of Finance, American Finance Association, vol. 45(1), pages 191-220, March.
    12. David Easley & Maureen O'Hara & P.S. Srinivas, 1998. "Option Volume and Stock Prices: Evidence on Where Informed Traders Trade," Journal of Finance, American Finance Association, vol. 53(2), pages 431-465, April.
    13. Kearney, Colm & Patton, Andrew J, 2000. "Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System," The Financial Review, Eastern Finance Association, vol. 35(1), pages 29-48, February.
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    Cited by:

    1. Ting-Huan Chang, 2011. "Risk preference and trading motivation measurement due to moneyness: evidence from the S&P 500 Index option market," Applied Financial Economics, Taylor & Francis Journals, vol. 21(14), pages 1049-1057.

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