Do investor sentiment, weather and catastrophe effects improve hedging performance? Evidence from the Taiwan options market

Chih Yuan Yang, Ling Jhen Jhang, Chia Chien Chang*

*此作品的通信作者

研究成果: 雜誌貢獻期刊論文同行評審

6 引文 斯高帕斯(Scopus)

摘要

This study examines the usefulness of incorporating investor sentiment, weather, and catastrophe effects into the benchmark volatility model for an effective hedging strategy in the Taiwan options market. The empirical results indicate that investor sentiment, as measured by the option volatility index (VIX) and put-call open interest ratio (PCO), and the catastrophic factors of earthquakes (EQ) can help explain realized volatility and that the PCO has the best predictive ability. Incorporating investor sentiment and weather effects improves the hedging performance of options. VIX and changes in cloud cover (δCC) have significant improvement level for hedging performance, the highest of which are 0.44% and 5.36%, respectively.

原文英語
頁(從 - 到)35-51
頁數17
期刊Pacific Basin Finance Journal
37
DOIs
出版狀態已發佈 - 2016 四月 1

ASJC Scopus subject areas

  • 金融
  • 經濟學與計量經濟學

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