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Nonlinear Relationships between Taiwan VIX Index and the Intraday Ordering Behavior of Stock Index Options

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  • Jack J. W. Yang
  • Chia-Hsing Huang
  • Chi-Hui Wang

Abstract

Threshold vector error correction model is used to study the nonlinear relationships between market volatility expectations and ordering behavior. Futures price, market volatility expectations, and derivatives ordering behavior data are used in the study. The intraday data of the VIX index, stock index futures price, and stock index options ordering volume from the Taiwan Futures Exchange are used for the study. Research results show the existence of asymmetric impacts of lagged VIX index on futures price, lagged VIX index on put options buy order to sell order volume ratio, lagged futures price on VIX index, lagged call options buy order to sell order volume ratio on VIX index, and lagged put options buy order to sell order volume ratio on VIX index when using VIX index as threshold.

Suggested Citation

  • Jack J. W. Yang & Chia-Hsing Huang & Chi-Hui Wang, 2013. "Nonlinear Relationships between Taiwan VIX Index and the Intraday Ordering Behavior of Stock Index Options," Business and Management Research, Business and Management Research, Sciedu Press, vol. 2(3), pages 68-80, September.
    • Handle: RePEc:jfr:bmr111:v:2:y:2013:i:3:p:68-80
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    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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