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Analysis of the clientele effect and the information content of short‐term index option returns in Taiwan

Ging‐Ginq Pan, Yung‐Ming Shiu and Tu‐Cheng Wu

Journal of Futures Markets, 2018, vol. 38, issue 6, 715-730

Abstract: We compare and contrast the clientele effect, information content and the buy‐and‐ hold returns of options with weekly and monthly expiration periods (Weeklys and Monthlys) traded on the Taiwan Stock Exchange Capitalization‐weighted Stock Index (TAIEX). No significant clientele effect is discernible in either market. Furthermore, Weeklys has the wider bid‐ask spread and lower depth clearly implies greater information asymmetry than Monthlys. Unlike Weeklys, Monthlys are found to play a leading informational role in TAIEX returns. We further observe that both types of options have significantly negative returns.

Date: 2018
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Handle: RePEc:wly:jfutmk:v:38:y:2018:i:6:p:715-730