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Impact of Volatility Risk on the TAIEX Option Return

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Book cover Information Systems Architecture and Technology: Proceedings of 39th International Conference on Information Systems Architecture and Technology – ISAT 2018 (ISAT 2018)

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 854))

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Abstract

The purpose of this study is to gauge the impact of volatility risk on TAIEX Option return using regression models for analyzing 12-month cross-sectional option data. Our empirical results indicate that disparate volatility-risk factors have considerable effects on abnormal returns, and expect to create risk premium; specifically, the market risk premium, policy rewards, and fear index can lessen the return of 7.806%, 6.336%, and 1.294% per year, respectively.

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Author information

Authors and Affiliations

  1. Yango University, Fuzhou, 350015, China

    Jui-Chan Huang

  2. Department of Business Administration, National Kaohsiung University of Science and Technology, Kaohsiung, 807, Taiwan

    Wen-I Hsiao & Jung-Fang Chen

  3. Department of Industrial Engineering and Management, National Kaohsiung University of Science and Technology, Kaohsiung, 807, Taiwan

    Ming-Hung Shu

  4. Office of International Affairs, Lac Hong University, Biên Hòa, Vietnam

    Thanh-Lam Nguyen

  5. Department of Industrial Engineering and Management, Cheng Shiu University, Kaohsiung, Taiwan

    Bi-Min Hsu

Authors
  1. Jui-Chan Huang
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  2. Wen-I Hsiao
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  3. Jung-Fang Chen
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  4. Ming-Hung Shu
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  5. Thanh-Lam Nguyen
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  6. Bi-Min Hsu
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Corresponding author

Correspondence to Thanh-Lam Nguyen .

Editor information

Editors and Affiliations

  1. University of Applied Sciences in Nysa, Nysa, Poland

    Zofia Wilimowska

  2. Faculty of Computer Science and Management, Wrocław University of Science and Technology, Wrocław, Poland

    Leszek Borzemski

  3. Faculty of Computer Science and Management, Wrocław University of Science and Technology, Wrocław, Poland

    Jerzy Świątek

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Huang, JC., Hsiao, WI., Chen, JF., Shu, MH., Nguyen, TL., Hsu, BM. (2019). Impact of Volatility Risk on the TAIEX Option Return. In: Wilimowska, Z., Borzemski, L., Świątek, J. (eds) Information Systems Architecture and Technology: Proceedings of 39th International Conference on Information Systems Architecture and Technology – ISAT 2018. ISAT 2018. Advances in Intelligent Systems and Computing, vol 854. Springer, Cham. https://doi.org/10.1007/978-3-319-99993-7_10

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