Analysis of the clientele effect and the information content of short‐term index option returns in Taiwan
比较台湾加权股价指数周到期与月到期期权的客户效应、信息含量及持有期收益，发现周到期期权信息不对称更严重，月到期期权对指数收益有领先信息作用，且两类期权收益均显著为负。
We compare and contrast the clientele effect, information content and the buy‐and‐ hold returns of options with weekly and monthly expiration periods (Weeklys and Monthlys) traded on the Taiwan Stock Exchange Capitalization‐weighted Stock Index (TAIEX). No significant clientele effect is discernible in either market. Furthermore, Weeklys has the wider bid‐ask spread and lower depth clearly implies greater information asymmetry than Monthlys. Unlike Weeklys, Monthlys are found to play a leading informational role in TAIEX returns. We further observe that both types of options have significantly negative returns.