Purpose–The purpose of this paper is to study how the market correlation changes in Chinese stock market and how the market correlation affects stock returns. Design/methodology/approach -The authors first examine the relationship between the market correlation and the market return. Then, the...

Purpose–Due to disequilibrium between supply and demand in the option market, the option market-maker is under exposure to certain risks because of their net option positions. This paper aims to pay attention to whether the risk award affects the option price and the shape of implied...

In this paper, we study the impact of the trading of individual investors on short-horizon stock returns from 2005 to 2006 using a unique data set provided by the Taiwan Stock Exchange. We examine the predictability of stock returns based on net individual trading by using the portfolio-sorting...