Which Trades Move Prices?: Evidence from TAIEX Option Market

• Main Authors: Wei-sen Hsu, 許為森
• Other Authors: Chuang-chang Chang
• Format: Others
• Language: en_US
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/04891152194058049687

碩士 === 國立中央大學 === 財務金融研究所 === 97 === In this thesis, we investigate the stealth trading behaviors by analyzing which trades move price for the TAIEX option market. We find that small-sized trades are associated with a disproportionately large cumulative option-series price change relative to their proportion of trading frequency and volume separately. Besides, we also consider the effects of option characteristics, such as moneyness, on fragmenting trades. Our finding reveals that the largest cumulative price changes from the in-the-moneyness options are attributed to the small trades; whereas, for the out-the-moneyness and the near-the-moneyness options, medium-sized trades are responsible for the most price movements. Due to having the unique dataset, we further verify that the source of this disproportionately large price impact of small-sized trades is mainly initiated by institutions. Moreover, for individual investors, most of the cumulative price changes come from the medium-sized trades.