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Jui-Chan Huang



Authors and WSEAS

Jui-Chan Huang


WSEAS Transactions on Business and Economics


Print ISSN: 1109-9526
E-ISSN: 2224-2899

Volume 14, 2017

Notice: As of 2014 and for the forthcoming years, the publication frequency/periodicity of WSEAS Journals is adapted to the 'continuously updated' model. What this means is that instead of being separated into issues, new papers will be added on a continuous basis, allowing a more regular flow and shorter publication times. The papers will appear in reverse order, therefore the most recent one will be on top.

Volume 14, 2017


Study on Effect of Jumping Risk and Volatility Risk on TAIEX Option Return

AUTHORS: Jui-Chan Huang

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ABSTRACT: Due to the low profits in recent years environmental, as well as the development of financial engineering that promote the derivatives trading volume increased. Moreover, the fastest-growing of selected right and the lack of research about option risk. This study aim to explore the relationship between the risk and reward of selected right in Taiwan index. This study focus on the pricing the jump risk of selected right in Taiwan index. Using cross-sectional data as a 12-month study period, using the iteration method to research the effects of abnormal returns, the result shows that different risk factors of fluctuations affected the abnormal returns obviously will cause risk premium as well as the jump risk which consistent with the theory of behavioral finance. However, according to traditional finance theory, contrary to the results of this study consider that higher risks should generate higher-paying as well. According this study, the investors in behavioral finance in modern financial theory is not rational, and the trading behavior is non-random, moreover, the financial market is non-efficiency. Instead, the high risk low reward.

KEYWORDS: Jumping risk, TAIEX Option Return

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WSEAS Transactions on Business and Economics, ISSN / E-ISSN: 1109-9526 / 2224-2899, Volume 13, 2016, Art. #7, pp. 64-73


Copyright © 2017 Author(s) retain the copyright of this article. This article is published under the terms of the Creative Commons Attribution License 4.0