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[Seminar] 財金系 5/16 (二) 下午 13:30 邀請 West Virginia University 的 Prof. Alexander Kurov 演講
活動起日:2017-05-16 
發佈日期:2017-05-09 
瀏覽數:215  2017-05-09 更新

本系擬於 5/16 () 邀請 West Virginia University Prof. Alexander Kurov 至本所進行專題演講,相關訊息如下:

 

【演講訊息】

時間: 5/16 () 13:30-15:00

地點: 管理學院一號館 804 財金系會議室

講者: Prof. Alexander Kurov

講題: The Informational Role of Index Option Trading

 

Abstract:

Do order flows in index derivatives play an informational role? Net buying pressure in index put options traded on the International Securities Exchange (ISE) positively and robustly predicts S&P 500 index returns. This result obtains symmetrically for net put buying and selling, indicating that it is not due to hedging via put buying. Instead, our finding accords with the notion that market makers have private information and set quotes to attract orders from outside investors. Supporting this notion, we find that the predictive ability of put order flow is higher when the differential between bid-to-bid and ask-to-ask returns is higher.