While numerous prior studies report that call–put implied volatility spreads positively predict future stock returns, recent literature shows that the predictive relation is negative for future call option returns. We investigate whether and, if so, how the predictive relation for options...

This study follows the approach of Ni, Pan and Poteshman (2008) ndash; based upon the vega-weighted net demand for volatility ndash; to determine whether volatility information exists within the Taiwan options market. Our empirical results show that foreign institutional investors possess the...

This study investigates the institutional investors who hold nonzero synchronous positions in both derivative and underlying stocks to increase contract payoffs. We show that the potential manipulators settle or offset their TAIEX futures and options and simultaneously trade the constituent...