 Information content of investor trading behavior: Evidence from Taiwan index options marketYen-Hsien Lee and David K. Wang Pacific-Basin Finance Journal, 2016, vol. 38, issue C, 149-160 Abstract: In this study, we analyze the information content of the TXO market using decoupled O/S ratio. First, we find that, among four classes of traders, only foreign institutional investors have significant predictive power in the TXO market, thereby providing evidence that foreign investor flows do indeed have an impact on host-country stock returns. Second, the decoupled O/S (specifically, call O/S) ratio appears to outperform the overall O/S and put-call ratios as an information-content variable. Third, we find that foreign institutional investors exhibit greater predictive ability with regard to the OTM and short-horizon TXO options, which implies that leverage, rather than liquidity, is considered by the informed traders. To the best of our knowledge, this study represents the first of its kind to investigate the information content of decoupled O/S ratios in the index-option market. Keywords: Information content; Options trading; Decoupled O/S ratio; Put-call ratio; Foreign institutional investors (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:38:y:2016:i:c:p:149-160 DOI: 10.1016/j.pacfin.2016.04.001 Access Statistics for this article Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee More articles in Pacific-Basin Finance Journal from Elsevier |
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