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Informed trading, trading strategies and the information content of trading volume: Evidence from the Taiwan index options market

✍ Scribed by Hsieh, Wen-liang G.; He, Huei-Ru

Book ID
121804332
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
785 KB
Volume
31
Category
Article
ISSN
1042-4431

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## Abstract This study examines if informed trading is present in the index option market by analyzing the KOSPI 200 options, the most actively traded derivative product in the world. The spread decomposition model developed by Madhavan, Richardson, and Roomans (1997) is utilized and the adverse‐se