We compile option-implied tail loss and gain measures based on a deep out-of-the- money option pricing formula derived by applying ‘extreme value theory', and then use these measures to investigate the information content of option-implied tail risk on the future returns of the underlying...

We derive the theoretical relation between the term structure of implied variance and the expected excess returns of the underlying asset. Adopting three alternative approaches to compile the variables representing the information on the implied volatility index level and term structure, we show...

We utilize the respective information share and common factor component weight approaches of Hasbrouck (1995) and Gonzalo and Granger (1995) to examine price discovery competition between the VIX and VIX futures. Our results show that VIX futures prices play a dominant role in the overall...

We set out in this study to determine whether individuals with higher levels of financial literacy are more likely to be active participants in the derivatives markets. Our empirical results, based upon an official National Survey undertaken by the Financial Supervisory Commission of Taiwan,...

This paper examines the hedging impact on the underlying stock market using a comprehensive dataset of covered warrants traded in the Taiwan Stock Exchange (TWSE). Since TWSE requires the warrant issuers to conduct dynamic hedging over the life of warrants, we can estimate the number of shares...