Browsing by Author "Tu, Anthony H."

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Default correlation at the sovereign level: evidence from some Latin American markets
(2011)
Chen, Yi-Hsuan
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Wang, Kehluh
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Tu, Anthony H.
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資訊管理與財務金融系註：原資管所+財金所
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Department of Information Management and Finance
Using the eruption of Argentina debt crisis in 2001 as a natural experiment, we investigated the correlated default at the sovereign level for some Latin American countries. Daily closing market quotes for sovereign Credit Default Swaps (CDS) of Argentina, Brazil, Mexico and Venezuela were obtained from CreditTrade database. Using copula approach, we observed increased dependences among sovereign CDS markets during the crisis period. Their dependence structures were found to be asymmetric. Moreover, the degree of credit contagion was related to the creditworthiness of the country. This study also discussed the implications of these findings for policymakers.
Does the early bird catch the worm? The information content of Taiwan's index option trading in the early 15-min pre-opening session
(2017-07-01)
Liu, Wenchien
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Hsieh, Wen-Liang G.
;
Tu, Anthony H.
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資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
We examine the information content of index options trading during the pre-opening session. Using data from the Taiwan market, we find that variables constructed based upon option implied volatility and option volume imbalance in the pre-opening session can predict spot index and ETF returns for up to ten minutes after the spot market opening. This finding remains robust, even after controlling for the pre-opening returns of index futures, which suggests that pre-opening trading in index options plays a critical and unique role in price discovery prior to the opening of the spot market. Such predictive ability is stronger for short-term options, near-the-money options, and for options that are away from expiration days. We also find that pre-opening options trading reflects the uncertainty transmitted from overseas markets, showing lower predictive ability on days with less definite overnight information (greater CBOE VIX). (C) 2017 Elsevier Inc. All rights reserved.
Market uncertainty, expected volatility and the mispricing of S&P 500 index futures
(2016-01)
Tu, Anthony H.
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Hsieh, Wen-Liang G.
;
Wu, Wei-Shao
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資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
An association between increased index futures mispricing and concurrent index volatility has been reported within several prior studies; in the present study, we argue that expected volatility over an arbitrage horizon also has an adverse effect on the ability and willingness of traders to engage in arbitrage, leading to greater and more persistent futures mispricing. Using the CBOE VIX and its innovation on the concurrent spot volatility as proxies for expected volatility, we present evidence of an increase in S&P 500 index futures mispricing with expected volatility. The impact of the VIX grows exponentially across the distribution of conditional mispricing levels, which suggests that the expectations of heightened future volatility become increasingly detrimental to arbitrage activities when the futures price deviations are enlarged; however, the influence of expected volatility is found to have been reduced during the global financial crisis period, a period during which concurrent volatility overwhelmingly dominated the magnitude of mispricing. (C) 2015 Elsevier B.V. All rights reserved.