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

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  • Chang, Chuang-Chang
  • Hsieh, Pei-Fang
  • Tang, Chih-Wei
  • Wang, Yaw-Huei

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.

Suggested Citation

  • Chang, Chuang-Chang & Hsieh, Pei-Fang & Tang, Chih-Wei & Wang, Yaw-Huei, 2013. "The intraday behavior of information misreaction across various categories of investors in the Taiwan options market," Journal of Financial Markets, Elsevier, vol. 16(2), pages 362-385.
    • Handle: RePEc:eee:finmar:v:16:y:2013:i:2:p:362-385
    DOI: 10.1016/j.finmar.2012.09.004
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    References listed on IDEAS

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    Cited by:

    1. Kelley Bergsma & Andy Fodor & Vijay Singal & Jitendra Tayal, 2020. "Option trading after the opening bell and intraday stock return predictability," Financial Management, Financial Management Association International, vol. 49(3), pages 769-804, September.
    2. Lee, Jaeram & Ryu, Doojin & Yang, Heejin, 2021. "Does vega-neutral options trading contain information?," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 294-314.

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    More about this item

    Keywords

    Options; Misreaction; Stochastic volatility; Model-free implied variance; Investors;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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