The Trading Behavior of Various Types of Investors Between Taiwanese Options and Equity Markets

摘要

The main purpose of this study is to investigate the trading behavior of various types of investors between Taiwanese options and equity markets. This study employs 15-min frequency options volume established from the microstructure dataset, the returns and volume of equity price index to explore the trading behavioT between options and equity markets. The empirical results indicate that the trading behavior of individual investors is opposite to the trading behavior of institutional investors, implying that the information asymmetry may exist between the trading behaviors of these two types of investors. The institutional investors may possess superior information than the individual investors. Furthermore, market makers are not only liquidity providers but also may make profit in options market. Finally, the institutional investors including dealers and foreign institutional investors may hedge their portfolios by adopting the trading strategy of protective put.