Abstract
This study adopts a unique dataset that includes the complete history of transactions in the Taiwan options market to investigate the misreaction patterns for marketwise observations and the transactions of four different categories of investors in the high-frequency framework. Using the results from model-free tests as benchmarks, we find that model-based tests incorrectly indicate the existence of investor misreaction and show the differences of misreaction degree among investor categories. Our findings are robust to alternative observation frequencies and duration definitions.
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