We investigate the relation between trading activity in the VIX derivative markets and changes in the VIX index under a high-frequency framework. We find a significant relation between the signed trading variables of VIX futures and the contemporaneous changes in the VIX index. In addition, the...

This paper examines the hedging impact on the underlying stock market using a comprehensive dataset of covered warrants traded in the Taiwan Stock Exchange (TWSE). Since TWSE requires the warrant issuers to conduct dynamic hedging over the life of warrants, we can estimate the number of shares...

We utilize a novel data panel of institutional short-sell transactions (with identification flags for hedgers and non-hedgers), equity covered put warrant data, and securities lending data based on the Taiwan market to show that put warrant derivatives hedge re-balancing raises borrowing costs...