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

Chuang-Chang Chang, Pei-Fang Hsieh (), Chih-Wei Tang and Yaw-Huei Wang

Journal of Financial Markets, 2013, vol. 16, issue 2, 362-385

Abstract: 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.

Keywords: Options; Misreaction; Stochastic volatility; Model-free implied variance; Investors (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:16:y:2013:i:2:p:362-385

DOI: 10.1016/j.finmar.2012.09.004

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