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Price discovery in the options markets: An application of put-call parity

Hsieh, Wen-Liang G.; Lee, Chin-Shen; Yuan, Shu-Fang - In: The journal of futures markets 28 (2008) 4, pp. 354-375

Persistent link: https://www.econbiz.de/10007909352

Realized higher moments and trading activity

Yuan, Shu-Fang - In: Review of quantitative finance and accounting 62 (2024) 3, pp. 971-1005

Persistent link: https://www.econbiz.de/10014503204

Dynamic hedge with forecasting : a Martingale approach

Lee, Chin-shen - In: Advances in investment analysis and portfolio … 8 (2001), pp. 205-229

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Deviations from put-call parity and volatility prediction : evidence from the Taiwan index option market

Chen, Chin-Ho; Chung, Huimin; Yuan, Shu-Fang - In: The journal of futures markets 34 (2014) 12, pp. 1122-1145

Persistent link: https://www.econbiz.de/10010508675

Informed trading, trading strategies and the information content of trading volume : evidence from the Taiwan index options market

Hsieh, Wen-liang G.; He, Huei-Ru - In: Journal of international financial markets, … 31 (2014), pp. 187-215

Persistent link: https://www.econbiz.de/10011299338

Market uncertainty, expected volatility and the mispricing of S&P 500 index futures

Tu, Anthony H.; Hsieh, Wen-Liang G.; Wu, Wei-Shao - In: Journal of empirical finance 35 (2016), pp. 78-98

Persistent link: https://www.econbiz.de/10011662722

Does the early bird catch the worm? : the information content of Taiwan’s index option trading in the early 15-min pre-opening session

Liu, Wenchien; Hsieh, Wen-Liang G.; Tu, Anthony H. - In: The North American journal of economics and finance : a … 41 (2017), pp. 168-189

Persistent link: https://www.econbiz.de/10011878952

Religiosity and sovereign credit quality

Hsieh, Wen-Liang G.; Wu, Wei-Shao; Tu, Anthony H. - In: Journal of empirical finance 68 (2022), pp. 84-103

Persistent link: https://www.econbiz.de/10013464440

Informed trading, trading strategies and the information content of trading volume: Evidence from the Taiwan index options market

Hsieh, Wen-liang G.; He, Huei-Ru - In: Journal of International Financial Markets, … 31 (2014) C, pp. 187-215

This paper examines the predictive ability of index option put-call volume on next-day index movements in the Taiwan market. We find that foreign institutional investors are the most informed traders, with their predictive ability being more apparent in a downward market. When engaging in...

Persistent link: https://www.econbiz.de/10010784956

A cointegration test on stock and bond spread reversion : evidence in Taiwan

Wu, Soushan - In: Xiang gang jing ji xue hui hui kan : annual publ. of … 24 (1996), pp. 21-29

Persistent link: https://www.econbiz.de/10001211583