Nonlinear Relationships between Taiwan VIX Index and the Intraday Ordering Behavior of Stock Index Options

Jack J. W. Yang, Chia-Hsing Huang, Chi-Hui Wang
2013 Business and Management Research  
Threshold vector error correction model is used to study the nonlinear relationships between market volatility expectations and ordering behavior. Futures price, market volatility expectations, and derivatives ordering behavior data are used in the study. The intraday data of the VIX index, stock index futures price, and stock index options ordering volume from the Taiwan Futures Exchange are used for the study. Research results show the existence of asymmetric impacts of lagged VIX index on
more » ... ged VIX index on futures price, lagged VIX index on put options buy order to sell order volume ratio, lagged futures price on VIX index, lagged call options buy order to sell order volume ratio on VIX index, and lagged put options buy order to sell order volume ratio on VIX index when using VIX index as threshold.
doi:10.5430/bmr.v2n3p68 fatcat:qkemvj3inzhcze2zulr7kcepmi