Does Option Price Lead Stock Price?: The Case of An Emerging Market

ASIAIR > Asia University Journals > Asian Journal of Management and Humanity Sciences > v.1 n.3 > Item 310904400/2107

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Title:	Does Option Price Lead Stock Price?: The Case of An Emerging Market
Other Titles:	選擇權價格領先股票價格嗎?新興市場的實證研究
Authors:	LI-CHUAN CHEN;CHIH-HSIANG CHANG
Contributors:	Department of Finance, Chaoyang University of Technology
Keywords:	emerging market;intraday data;intrinsic valuelead-lag relationship;types of option. 新興市場;日內交易資料;領先落後關係;內含價值;權利類型
Date:	2006-10
Issue Date:	2009-10-13 07:22:52 (UTC+0)
Publisher:	Asia University
Abstract:	Emerging derivatives markets may be less efficient in incorporating new information because they experience low liquidity. Focusing on the function of price discovery of new stock index derivatives gives us a complete picture of the informational efficiency of these markets. This study investigates the lead-lag relationships between the cash and the option markets on Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) by using 15-minute intraday data. In contrast to prior research, we examine the effect of the intrinsic value of options and the types of options on the lead-lag relationships between the stock and the option markets. The empirical results indicate that the cash index leads at-the-money call options and out-of-the-money call options by up to 15 minutes. There is an obvious difference between the speed of price reaction to new information in TAIEX options of different intrinsic values compared to the reaction time of other types of options.
Relation:	Asian Journal of Management and Humanity Sciences 1(3):422-433
Appears in Collections:	[Asian Journal of Management and Humanity Sciences] v.1 n.3

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