Purpose – This paper investigates changes in risk-neutral distribution derived from Taiwan stockindex options under different market conditions. The purpose of this paper is to explore whether individual investor sentiment significantly influences the Taiwan option prices....

This paper proposes that the Taiwan Futures Exchange (TAIFEX) adopts a linear extrapolation method to set the settlement price for the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) options with less liquidity and thin trading. The empirical results indicate that the...

Costly signal acquisition compels decision-makers to choose between acquiring private signals and following their predecessors, which can result in problems associated with signal extraction. The results show that the information externality of the second decision-maker influences the efficiency...