The Predictability of Relative Trading Volume in Options and Stock on Stock Returns
碩士 === 國立臺灣大學 === 財務金融學研究所 === 106 === This paper examines if option to stock trading volume can predict stock returns. Past studies have shown a high correlation between trading volume and return. Roll, Schwartz, Subrahmanyam (2010) use the relative trading volume in options and stock as measured....
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ndltd-TW-106NTU053040332019-05-16T01:00:03Z http://ndltd.ncl.edu.tw/handle/c6cby3 The Predictability of Relative Trading Volume in Options and Stock on Stock Returns 選擇權和現貨相對交易量對股票報酬率預測力 Ciao-Ying Lyu 呂喬盈 碩士 國立臺灣大學 財務金融學研究所 106 This paper examines if option to stock trading volume can predict stock returns. Past studies have shown a high correlation between trading volume and return. Roll, Schwartz, Subrahmanyam (2010) use the relative trading volume in options and stock as measured. And find that O/S is higher around earnings announcements, suggesting increased trading in the options market. This paper uses Fama-MacBeth regression to analyze data. The results show that in Taiwan market, relative trading volume in options and stock can predict future return, and the relative trading volume has an inverse relationship with return, consistent with the past studies. Informed traders are more willing to trade in the option market when the transaction costs are high and the limitations of the short-selling. This paper extends the idea of relative trading volume to the warrant market. The result also prove that relative trading volume can be used as a factor in the study of Taiwan’s capital markets. Shing-yang Hu 胡星陽 2018 學位論文 ; thesis 36 zh-TW |
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碩士 === 國立臺灣大學 === 財務金融學研究所 === 106 === This paper examines if option to stock trading volume can predict stock returns. Past studies have shown a high correlation between trading volume and return. Roll, Schwartz, Subrahmanyam (2010) use the relative trading volume in options and stock as measured. And find that O/S is higher around earnings announcements, suggesting increased trading in the options market.
This paper uses Fama-MacBeth regression to analyze data. The results show that in Taiwan market, relative trading volume in options and stock can predict future return, and the relative trading volume has an inverse relationship with return, consistent with the past studies. Informed traders are more willing to trade in the option market when the transaction costs are high and the limitations of the short-selling. This paper extends the idea of relative trading volume to the warrant market. The result also prove that relative trading volume can be used as a factor in the study of Taiwan’s capital markets.
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author2 |
Shing-yang Hu |
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Shing-yang Hu Ciao-Ying Lyu 呂喬盈 |
author |
Ciao-Ying Lyu 呂喬盈 |
spellingShingle |
Ciao-Ying Lyu 呂喬盈 The Predictability of Relative Trading Volume in Options and Stock on Stock Returns |
author_sort |
Ciao-Ying Lyu |
title |
The Predictability of Relative Trading Volume in Options and Stock on Stock Returns |
title_short |
The Predictability of Relative Trading Volume in Options and Stock on Stock Returns |
title_full |
The Predictability of Relative Trading Volume in Options and Stock on Stock Returns |
title_fullStr |
The Predictability of Relative Trading Volume in Options and Stock on Stock Returns |
title_full_unstemmed |
The Predictability of Relative Trading Volume in Options and Stock on Stock Returns |
title_sort |
predictability of relative trading volume in options and stock on stock returns |
publishDate |
2018 |
url |
http://ndltd.ncl.edu.tw/handle/c6cby3 |
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