The information content of Taiwan index futures and options order imbalance
碩士 === 國立臺北商業技術學院 === 財務金融研究所 === 99 === When informed traders have the information of the future movement of price, may choose futures or options market that has high leverage to earn higher income. More informed traders who have same information trade the same way. The imbalance will appear. Does...
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Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2011
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Online Access: | http://ndltd.ncl.edu.tw/handle/66101828174611680458 |
Summary: | 碩士 === 國立臺北商業技術學院 === 財務金融研究所 === 99 === When informed traders have the information of the future movement of price, may choose futures or options market that has high leverage to earn higher income. More informed traders who have same information trade the same way. The imbalance will appear. Does the imbalance have any sign about the future movement of price? This is what we want to know. The analysis find options order imbalance has more information than futures. And the situations of market affect predictability of order imbalance.
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