Information content of investor trading behavior: Evidence from Taiwan index options market

Ahn, 2008, Informed trading in the index options market: the case of KOSPI 200 options, J. Futur. Mark., 28, 1118, 10.1002/fut.20369

Atchison, 1987, Nonsynchronous security trading and market index autocorrelation, J. Financ., 42, 111, 10.1111/j.1540-6261.1987.tb02553.x

Barber, 2009, Just how much do individual investors lose by trading?, Rev. Financ. Stud., 22, 609, 10.1093/rfs/hhn046

Black, 1975, Fact and fantasy in the use of options, Financ. Anal. J., 31, 36, 10.2469/faj.v31.n4.36

Brennan, 1998, Alternative factor specifications, security characteristics, and the cross-section of expected stock returns, J. Financ. Econ., 49, 345, 10.1016/S0304-405X(98)00028-2

Cao, 2005, Informational content of option volume prior to takeovers, J. Bus., 78, 1073, 10.1086/429654

Chakravarty, 2004, Informed trading in the stock and option markets, J. Financ., 59, 1235, 10.1111/j.1540-6261.2004.00661.x

Chan, 2009, Informed trading under different market conditions and moneyness: evidence from TXO options, Pac. Basin Financ. J., 17, 189, 10.1016/j.pacfin.2008.02.003

Chang, 2009, Do informed option investors predict stock returns? Evidence from the Taiwan stock exchange, J. Bank. Financ., 33, 757, 10.1016/j.jbankfin.2008.11.001

Chang, 2010, Information content of options trading volume for future volatility: evidence from the Taiwan options market, J. Bank. Financ., 34, 174, 10.1016/j.jbankfin.2009.07.015

Chaput, 2005, Volatility trade design, J. Futur. Mark., 25, 243, 10.1002/fut.20142

Chern, 2008, The information content of stock split announcements: do options matter?, J. Bank. Financ., 32, 930, 10.1016/j.jbankfin.2007.07.008

Chou, 2009, Strategic order splitting, order choice and aggressiveness: evidence from the Taiwan futures exchange, J. Futur. Mark., 29, 1102, 10.1002/fut.20416

Easley, 1998, Option volume and stock prices: evidence on where informed traders trade, J. Financ., 53, 431, 10.1111/0022-1082.194060

Faff, 2005, Complete markets, informed trading and equity option introductions, J. Bank. Financ., 29, 1331, 10.1016/j.jbankfin.2004.04.009

Figlewski, 1993, Options, short sales and market completeness, J. Financ., 48, 761, 10.1111/j.1540-6261.1993.tb04738.x

Fisher, 1966, Some new stock-market indexes, J. Bus., 39, 191, 10.1086/294848

Fleming, 1996, Trading costs and the relative rate of price discovery in stock, futures and options markets, J. Futur. Mark., 16, 353, 10.1002/(SICI)1096-9934(199606)16:4<353::AID-FUT1>3.0.CO;2-H

Ge, 2015, Why does the option to stock volume ratio predict stock returns?, J. Financ. Econ.

Gervais, 2001, The high-volume return premium, J. Financ., 56, 877, 10.1111/0022-1082.00349

Griffin, 2004, Are daily cross-border equity flows pushed or pulled?, Rev. Econ. Stat., 86, 641, 10.1162/0034653041811725

Han, 2009

Hsieh, 2014, Informed trading, trading strategies and the information content of trading volume: evidence from the Taiwan index options market, J. Int. Financ. Mark. Inst. Money, 31, 187, 10.1016/j.intfin.2014.03.012

Johnson, 2012, The option to stock volume ratio and future returns, J. Financ. Econ., 106, 262, 10.1016/j.jfineco.2012.05.008

Kadlec, 1999, A transactions data analysis of nonsynchronous trading, Rev. Financ. Stud., 12, 609, 10.1093/revfin/12.3.0609

Kang, 2008, The information content of net buying pressure: evidence from the KOSPI 200 index option market, J. Financ. Mark., 11, 36, 10.1016/j.finmar.2007.01.001

Kaul, 2004

Lakonishok, 2004

Lee, 2000, Price momentum and trading volume, J. Financ., 55, 2017, 10.1111/0022-1082.00280

Lee, 2012

Llorente, 2002, Dynamic volume-return relation of individual stocks, Rev. Financ. Stud., 15, 1005, 10.1093/rfs/15.4.1005

Lo, 1990, An econometric analysis of nonsynchronous trading, J. Econ., 45, 181, 10.1016/0304-4076(90)90098-E

Miller, 1977, Risk, uncertainty, and divergence of opinion, J. Financ., 32, 1151, 10.1111/j.1540-6261.1977.tb03317.x

Ni, 2008, Volatility information trading in the options market, J. Financ., 63, 1059, 10.1111/j.1540-6261.2008.01352.x

Pan, 2006, The information in options volume for future stock prices, Rev. Financ. Stud., 19, 871, 10.1093/rfs/hhj024

Richards, 2005, Big fish in small ponds: the trading behavior and price impact of foreign investors in Asian emerging equity markets, J. Financ. Quant. Anal., 40, 1, 10.1017/S0022109000001721

Roll, 2010, O/S: the relative trading activity in options and stock, J. Financ. Econ., 96, 1, 10.1016/j.jfineco.2009.11.004

Schlag, 2005, Price impacts of options volume, J. Financ. Mark., 8, 69, 10.1016/j.finmar.2004.06.001

Scholes, 1977, Estimating betas from nonsynchronous data, J. Financ. Econ., 5, 309, 10.1016/0304-405X(77)90041-1

Stephan, 1990, Intraday price change and trading volume relations in the stock and stock option markets, J. Financ., 45, 191, 10.1111/j.1540-6261.1990.tb05087.x