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

作者：Liu Wenchien^*; Hsieh Wen Liang G; Tu Anthony H

来源：North American Journal of Economics and Finance, 2017, 41: 168-189.

DOI：10.1016/j.najef.2017.04.004

• Options trading
• Predictive ability
• Pre-opening trading
• Information content

We examine the information content of index options trading during the pre-opening session. Using data from the Taiwan market, we find that variables constructed based upon option implied volatility and option volume imbalance in the pre-opening session can predict spot index and ETF returns for up to ten minutes after the spot market opening. This finding remains robust, even after controlling for the pre-opening returns of index futures, which suggests that pre-opening trading in index options plays a critical and unique role in price discovery prior to the opening of the spot market. Such predictive ability is stronger for short-term options, near-the-money options, and for options that are away from expiration days. We also find that pre-opening options trading reflects the uncertainty transmitted from overseas markets, showing lower predictive ability on days with less definite overnight information (greater CBOE VIX).

• 出版日期2017-7
• 单位闽江学院