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The information content of trading activity and quote changes : evidence from VIX Options

Tsai, Wei-Che; Chiu, Ying-Tzu; Wang, Yaw-Huei - In: The journal of futures markets 35 (2015) 8, pp. 715-737

Persistent link: https://www.econbiz.de/10011392636

Price delay and post-earnings announcement drift anomalies : the role of option-implied betas

Ho, Hwai-chung; Tsai, Wei-Che - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012667185

The Information Content of Trading Activity and Quote Changes : Evidence from VIX Options

Tsai, Wei-Che - 2017

We investigate the informational role of trading volume and quote changes in VIX options with regard to future movements in the index, based upon a high-frequency framework. Our results reveal that whilst volume imbalances convey no significant predictive information, quote changes in VIX...

Persistent link: https://www.econbiz.de/10012957300

Google searches around analyst recommendation revision announcements : evidence from the Taiwan stock market

Wu, Ming-Hung; Tsai, Wei-Che; Lu, Chia-Chi; Zhang, Hang - In: International review of economics & finance : IREF 81 (2022), pp. 75-97

Persistent link: https://www.econbiz.de/10013343495

Trading activity of VIX futures and options around FOMC announcements

Huang, Hong-Gia; Tsai, Wei-Che; Yang, J. Jimmy - In: International review of financial analysis 94 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014543990