Information Content of Night Trading for Taiwan Stock Index Options

• Main Authors: LIU,MENG-LIN, 劉孟霖
• Other Authors: WU,YANG-CHE
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/xyee94

碩士 === 逢甲大學 === 財務金融學系 === 107 === This study investigates whether three non-spot market trading hours for Taiwan Stock Index Options (TXO) contains information related with spot returns over the next trading day. Assuming that useful information is retrievable from the option-implied volatility, we use the implied volatility Index (VIX) made from TXO to measure market expectations of near-term volatility conveyed by stock index market. The innovation in VIX during the night-trading period is significantly negative related to the spot overnight returns and spot returns over the next trading day. The empirical results imply that informed traders may create profitable portfolio in advance during the night-trading period. The effect of such information on stock market at least lasts 120 minutes. The innovation in VIX during the pre-open period is significantly positive related to the overnight returns and open price return in the spot market. The pre-open option trades also contain useful information in explaining subsequent spot returns up to 30 minutes during the trading day. No significant relationship is evident between information content in post-close options trading and spot returns on the following trading day.