Information Content of Investors' Demand for Volatility

馮 紹權(Scott Fung), 蔡 蒔銓(Shih-Chuan Tsai)

研究成果: 雜誌貢獻期刊論文同行評審


This paper examines the information content of investors' demand for volatility in an option market where investors possess heterogeneous information of future volatility. Using comprehensive transaction data on the Taiwan options market during the period of financial crisis, we construct the vega-weighted net demand for volatility by heterogeneous investor types, and investigate whether volatility trading of certain investor group is more informative about future market-level volatility. We find that the vega demand of investors such as domestic institutional investors exhibits significant predictive power. Specifically, vega demand from domestic institutional investors using passive orders predicts future realized volatility. Moreover, vega demand from domestic institutional investors who open new positions predicts future realized volatility. Overall, our findings highlight the importance of investor heterogeneity in examining informativeness of volatility trading.
頁(從 - 到)1-44
出版狀態已發佈 - 2017


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